Literature: authors starting with O

O'Hara and Zhou (2021) · The electronic evolution of corporate bond dealers

O'Hara, Maureen; Zhou, Xing (Alex). Journal of Financial Economics 140 (2), pp. 368–390. doi:10.1016/j.jfineco.2021.01.001

Electronic request-for-quote trading in US corporate bonds is still small and fragmented, but it is changing costs and execution quality even in voice and interdealer trading.

Cited in: Market making and bond trading: spread, inventory, axes, RFQ, cross trades and matrix pricing · Glossary: Request for quote

O'Kane and Sen (2005) · Credit spreads explained

O'Kane, Dominic; Sen, Saurav. The Journal of Credit Risk 1 (2), pp. 61–78. doi:10.21314/jcr.2005.009

Defines and compares the common spread measures for fixed-rate bonds, floating-rate notes and credit default swaps.

Cited in: Bond math: calculating price, yield, duration, convexity and spreads · Glossary: Z-spread

Odean (1998) · Are Investors Reluctant to Realize Their Losses?

Odean, Terrance. The Journal of Finance 53 (5), pp. 1775–1798. doi:10.1111/0022-1082.00072

Documents the disposition effect in 10,000 brokerage accounts: investors are more willing to sell winners than losers, and subsequent performance does not justify this.

Cited in: Stock picking: why individual stocks are so hard to get right

Ohlson (1995) · Earnings, Book Values, and Dividends in Equity Valuation

Ohlson, James A.. Contemporary Accounting Research 11 (2), pp. 661–687. doi:10.1111/j.1911-3846.1995.tb00461.x

A model of market value based on book value, current and future earnings and dividends under the clean surplus condition; the residual income model is built on it.

Cited in: Fundamental analysis: valuing a company like an investor

Ollech (2021) · Seasonal Adjustment of Daily Time Series

Ollech, Daniel. Journal of Time Series Econometrics 13 (2), pp. 235–264. doi:10.1515/jtse-2020-0028

The Bundesbank's method for seasonal and calendar adjustment of daily data: STL decomposition for the recurring patterns, combined with a RegARIMA model for calendar effects, moving holidays and outliers.

Cited in: Economic pulse: how Portfolio Lab calculates early indicators · Glossary: Seasonal adjustment

Opdyke (2007) · Comparing Sharpe ratios: So where are the p-values?

Opdyke, John Douglas. Journal of Asset Management 8 (5), pp. 308–336. doi:10.1057/palgrave.jam.2250084

Derives the distribution of the estimated Sharpe ratio for skewed and fat-tailed returns as well and builds tests for comparing Sharpe ratios on it.

Cited in: Deflated Sharpe ratio: how much skill is in a Sharpe ratio? · Overfitting check and diversification return: the calculations in Backtest and Tactical · Glossary: Standard error of the Sharpe ratio