Using intraday trades and quotes data, we study the stock options market before, during, and after the market events of May 6, 2010. Focusing on the S&P 500 and S&P 100 stock options, we explore if the options market provided any discernible signals that forewarned the extreme volatility on that...

In this paper, we examine value and momentum effects in 18 emerging stock markets. Using stock level data from January 1990 to December 2011, we find strong evidence for the value effect in all emerging markets and the momentum effect for all but Eastern Europe. We investigate size patterns in...

The Securities and Exchange Commission's 2008 emergency order introduced a shorting ban of some 800 financials traded in the US. This paper provides an empirical analysis of the options market around the ban period. Using transaction level data from OPRA (The Options Price Reporting Authority),...

The paper investigates value and momentum factors in 23 developed international stock markets. We find that typically value and momentum premia are smaller and more negatively correlated for large market capitalization stocks relative to small. Momentum factors are more highly correlated...

The Securities and Exchange Commission’s 2008 emergency order introduced a shorting ban of some 800 financials traded in the US. This paper provides an empirical analysis of the options market around the ban period. Using transaction level data from OPRA (The Options Price Reporting...

The Securities and Exchange Commission's 2008 emergency order introduced a shorting ban of some 800 financials traded in the US. This paper provides an empirical analysis of the options market around the ban period. Using transaction level data from OPRA (The Options Price Reporting Authority),...

In this paper, we examine value and momentum effects in 18 emerging stock markets. Using stock level data from January 1990 to December 2011, we find strong evidence for the value effect in all emerging markets and the momentum effect for all but Eastern Europe. We investigate size patterns in...