Cremers, Martijn; Weinbaum, David - In: Journal of Financial and Quantitative Analysis 45 (2010) 02, pp. 335-367
Deviations from put-call parity contain information about future stock returns. Using the difference in implied volatility between pairs of call and put options to measure these deviations, we find that stocks with relatively expensive calls outperform stocks with relatively expensive puts by 50...