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Option Market Efficiency and Analyst Recommendations

Doran, James S.; Fodor, Andy; Krieger, Kevin - In: Journal of Business Finance & Accounting 37 (2010-06) 5-6, pp. 560-590

This paper examines the information content in option markets surrounding analyst recommendation changes. The sample includes 6,119 recommendation changes for optionable stocks over the period January 1996 through December 2005. As expected, mean underlying asset returns are positive (negative)...

Persistent link: https://www.econbiz.de/10008670965

Option market efficiency and analyst recommendations

Doran, James S.; Fodor, Andy; Krieger, Kevin - In: Journal of business finance & accounting : JBFA 37 (2010) 5/6, pp. 560-590

Persistent link: https://www.econbiz.de/10008698693

Implications for asset returns in the implied volatility skew

Doran, James S.; Krieger, Kevin - In: Financial analysts' journal : FAJ 66 (2010) 1, pp. 65-76

Persistent link: https://www.econbiz.de/10003952065

Do option open-interest changes foreshadow future equity returns?

Fodor, Andy; Krieger, Kevin; Doran, James S. - In: Financial markets and portfolio management 25 (2011) 3, pp. 265-280

Persistent link: https://www.econbiz.de/10009295464

Do option open-interest changes foreshadow future equity returns?

Fodor, Andy; Krieger, Kevin; Doran, James S. - In: Financial markets and portfolio management 25 (2011) 3, pp. 265-280

Persistent link: https://www.econbiz.de/10009262388