Research

Working Papers

  1. Impact of Embedded Leverage on Trading Activity in Stock, Options, and Futures Markets, with Sobhesh Kumar Agarwalla (IIM-A), and Jayanth R. Varma (IIM-A).
  2. Effect of Continuous Disclosure Requirement on Information Leakage Around Earnings Announcements, with Sobhesh Kumar Agarwalla (IIM-A), Ajay Pandey (IIM-A), and Jayanth R. Varma (IIM-A).
  3. Natural Disasters, Interest Rate Dynamics, and Economic Activities, with Abhiman Das (IIM-A), and Tanmoy Majilla (IIM-A).
  4. Bankruptcy codes and asymmetric cost behaviour, with Debojyoti Das, and Arun Upadhyay.

Published/Forthcoming Papers (Peer-Reviewed)

  1. Modelling for insight: Does oil price uncertainty have directional predictability for travel and leisure firms? , with Debojyoti Das and Anupam Dutta, Energy Economics (Forthcoming).
  2. Does Government Ownership Differently Impact Expected Left-Tail and Volatility Risk of Bank Stock? Evidence from Options Market , with Pranjal Srivastava and Abinash Mishra, Journal of Corporate Finance (2025), 102832.
  3. Asymmetric uncertainty around earnings announcements: Evidence from options market , with Sobhesh Kumar Agarwalla and Jayanth R. Varma, American Business Review, Vol. 27, No. 2, Article 4.
  4. Role of derivatives market in attenuating underreaction to left-tail risk , with Sobhesh Kumar Agarwalla and Jayanth R. Varma, Journal of Futures Markets, 44 (3), 484-517.
  5. Belief distortion near 52 Week High and Low: Evidence from Indian equity options market , with Sobhesh Kumar Agarwalla and Jayanth R. Varma, Journal of Futures Markets, 43 (11), 1531-1558.
  6. Lottery and bubble stocks and the cross-section of option-implied tail risks , with Sobhesh Kumar Agarwalla and Jayanth R. Varma, Journal of Futures Markets, 42 (2), 231-249.

Media Articles

Is Repo RBI's Policy Rate? , with Pranjal Srivastava, The Hindu BusinessLine, July 31, 2020.

Why Margin Period of Risk Estimation in Commodities Derivatives Market Deserves a Review , with Sankarshan Basu, Outlook Business, April 07, 2026.

Book Chapters

Review of Corporate Governance in Emerging Economies from the Perspective of Principal–Principal Conflict , Saurav, S. (2020), in The Financial Landscape of Emerging Economies, pp. 111–121, Springer.