Why do option prices predict stock returns? : the role of price pressure in the stock market
Year of publication: |
2020
|
---|---|
Authors: | Goncalves-Pinto, Luis ; Grundy, Bruce D. ; Hameed, Allaudeen ; Heijden, Thijs van der ; Zhu, Yichao |
Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Catonsville, MD : INFORMS, ISSN 0025-1909, ZDB-ID 206345-1. - Vol. 66.2020, 9, p. 3903-3926
|
Subject: | price pressure | put-call parity | return predictability | informed trading | Kapitaleinkommen | Capital income | Börsenkurs | Share price | Prognoseverfahren | Forecasting model | Schätzung | Estimation | Theorie | Theory |
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