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Are Options on Index Futures Profitable for Risk Averse Investors? Empirical Evidence

Constantinides, George M. - 2014

American options on the S&P 500 index futures that violate the stochastic dominance bounds of Constantinides and Perrakis (2007) from 1983 to 2006 are identified as potentially profitable trades. Call bid prices more frequently violate their upper bound than put bid prices do, while violations...

Persistent link: https://www.econbiz.de/10013069352

Construction and Interpretation of Model-Free Implied Volatility

Andersen, Torben - 2007

The notion of model-free implied volatility (MFIV), constituting the basis for the highly publicized VIX volatility … more compatible with the related concept of corridor implied volatility (CIV). We provide a comprehensive derivation of the … CIV measure and relate it to MFIV under general assumptions. In addition, we price the various volatility contracts, and …

Persistent link: https://www.econbiz.de/10012775913

The Information of Option Volume for Future Stock Prices

Poteshman, Allen M. - 2004

We present strong evidence that option trading volume contains information about future stock price movements. Taking advantage of a unique dataset from the Chicago Board Options Exchange, we construct put-call ratios from option volume initiated by buyers to open new positions. On a...

Persistent link: https://www.econbiz.de/10012785364

Do Funds Make More When They Trade More?

Pastor, Lubos - 2014

We model optimal fund turnover in the presence of time-varying profit opportunities. Our model predicts a positive relation between an active fund's turnover and its subsequent benchmark-adjusted return. We find such a relation for equity mutual funds. This time-series relation between turnover...

Persistent link: https://www.econbiz.de/10013043611

A Taxonomy of Anomalies and Their Trading Costs

Novy-Marx, Robert - 2014

This paper studies the performance of a large number of anomalies after accounting for transaction costs, and the effectiveness of several transaction cost mitigation strategies. It finds that introducing a buy/hold spread, which allows investors to continue to hold stocks that they would not...

Persistent link: https://www.econbiz.de/10013040541

Differential Information and Dynamic Behavior of Stock Trading Volume

He, Hua - 2010

This paper develops a multi-period rational expectations model of stock trading in which investors have differential information concerning the underlying value of the stock. Investors trade competitively in the stock market based on their private information and the information revealed by the...

Persistent link: https://www.econbiz.de/10012763660

Competing for Order Flow in OTC Markets

Lester, Benjamin - 2014

We develop a model of a two-sided asset market in which trades are intermediated by dealers and are bilateral. Dealers compete to attract order flow by posting the terms at which they execute trades-- which can include prices, quantities, and execution speed--and investors direct their orders...

Persistent link: https://www.econbiz.de/10013045266

Counterfeit-Product Trade

Grossman, Gene M.; Shapiro, Carl - 2021

We analyze a two-country model of trade in both legitimate and counterfeit products. Domestic firms own trademarks and establish reputations for delivering high-quality products in a steady-state equilibrium. Foreign suppliers export legitimate low-quality merchandise and counterfeits of...

Persistent link: https://www.econbiz.de/10013215713

Limited Arbitrage and Short Sales Restrictions : Evidence from the Options Markets

Ofek, Eli - 2009

In this paper, we investigate empirically the well-known put-call parity no-arbitrage relation in the presence of short sale restrictions. We use a new and comprehensive sample of options on individual stocks in combination with a measure of the cost and difficulty of short selling, specifically...

Persistent link: https://www.econbiz.de/10012767791

On the Determinants of the Value of Call Options on Default-Free Bonds

Buser, Stephen Aubrey - 2008

Models of interest-dependent claims that imply similar term structures and levels of interest rate volatility also …

Persistent link: https://www.econbiz.de/10012774565

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