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Options trading and stock price informativeness

Cao, Jie; Goyal, Amit; Ke, Sai; Zhan, Xintong - 2019

We find that single-name options trading increases the absolute level of information content of prices (stock price … volume. Our findings are through the channels of investors' acquiring more information and through managers' information … disclosure. The findings are driven by firms with higher information asymmetry and firms with more efficiently priced options …

Persistent link: https://www.econbiz.de/10012179434

Implied volatility changes and corporate bond returns

Cao, Jie; Goyal, Amit; Ke, Sai; Zhan, Xintong - 2019

changes carry information about fundamental news, our evidence suggests that implied volatility changes contain information … about uncertainty shocks to the firm. Our results are consistent with the notion that informed traders with new information … information …

Persistent link: https://www.econbiz.de/10012179498

Unlocking ESG premium from options

Cao, Jie; Goyal, Amit; Zhan, Xintong; Zhang, Weiming Elaine - 2021

We find that option expensiveness, as measured by delta-hedged option returns, is higher for low-ESG stocks, indicating that investors pay a premium in the option market to hedge ESG-related uncertainty. We estimate this ESG premium to be about 0.3% per month. All three components of ESG...

Persistent link: https://www.econbiz.de/10012593635

Cheap options are expensive

Eisdorfer, Assaf; Goyal, Amit; Zhdanov, Alexei - 2020

We show that options written on stocks with low prices are over-priced. This effect is robust to a variety of tests, controlling for common stock- and option- risk characteristics, and to reasonable transaction costs. Natural experiments corroborate this finding; options tend to become...

Persistent link: https://www.econbiz.de/10012271181

Buyers versus sellers : who initiates trades and when?

Chordia, Tarun; Goyal, Amit; Jegadeesh, Narasimhan - 2011

We study the relation between order imbalance and past returns and firm characteristics and test a number of hypothesis including the disposition effect, momentum and contrarian trading, tax-loss selling and flight-to-quality hypothesis. These hypotheses make predictions about investors buy or...

Persistent link: https://www.econbiz.de/10009375163

Misvaluation and return anomalies in distress stocks

Eisdorfer, Assaf; Goyal, Amit; Zhdanov, Alexei - 2012

Return anomalies are most pronounced among distressed stocks. We attribute this finding to the role of misvaluation and investors' inability to value distressed stocks correctly. We treat distressed stocks as options and construct a valuation model that explicitly takes into account the value of...

Persistent link: https://www.econbiz.de/10009558395

A comprehensive look at the empirical performance of equity premium prediction II

Goyal, Amit; Welch, Ivo; Zafirov, Athanasse - 2021

Our paper reexamines whether 29 variables from 26 papers published after Goyal and Welch (2008), as well as the original 17 variables, were useful in predicting the equity premium in-sample and out-of-sample. Our samples include the original periods in which these variables were identified, but...

Persistent link: https://www.econbiz.de/10012800283

Illiquidity and the cost of equity capital : evidence from actual estimates of capital cost for U.S. data

Goyal, Amit; Subrahmanyam, Avanidhar; Swaminathan, Bhaskaran - 2021

Illiquidity measures appear to be related to monthly realized returns but do they impact long-run costs of capital (CoC) for firms? Using U.S. data, we find cross-sectional evidence that, controlling for market capitalization, the Amihud (2002) measure of illiquidity is negatively related to CoC...

Persistent link: https://www.econbiz.de/10012800436

p-hacking: evidence from two million trading strategies

Chordia, Tarun; Goyal, Amit; Saretto, Alessio - 2017

We use information from over two million trading strategies that are randomly generated using real data, and from …

Persistent link: https://www.econbiz.de/10011874878

Distance-based metrics : a Bayesian solution to the power and extreme-error problems in asset-pricing tests

Goyal, Amit; He, Zhongzhi; Huh, Sahn-Wook - 2018

We propose a unified set of distance-based performance metrics that address the power and extreme-error problems inherent in traditional measures for asset-pricing tests. From a Bayesian perspective, the distance metrics coherently incorporate both pricing errors and their standard errors....

Persistent link: https://www.econbiz.de/10011976958