Narrow search
Showing 1 - 10 of 52,525
Cover Image
Predictable Stock Returns, Transaction Costs, and the (Un)Informativeness of Option Prices
Goncalves-Pinto, Luis - 2020
We show that option prices predict future stock returns only when stock returns are ex-ante predictable using public signals from the stock market itself. Directional option trading cannot explain these results, suggesting that they are not driven by informed trading or superior ability of...
Persistent link: https://www.econbiz.de/10012855271
Cover Image
Option price implied information and REIT returns
Cao, Jie; Han, Bing; Song, Linjia; Zhan, Xintong - 2021
Option-based measures can predict underlying stock returns, due to differences in price discovery and price pressure effects between options and underlying stocks. We investigate stock return predictability by various option price-based measures using REITs. REITs are more transparent and...
Persistent link: https://www.econbiz.de/10012593737
Cover Image
Aggregate implied volatility spread and stock market returns
Han, Bing; Li, Gang - 2017 - Current Version: September 2017
Aggregate implied volatility spread (IVS), defined as the cross-sectional average difference in the implied volatilities of at-the-money call and put equity options, is significantly and positively related to future stock market returns at daily, weekly, monthly, to semiannual horizons. This...
Persistent link: https://www.econbiz.de/10011897782
Cover Image
Technical trading revisited : false discoveries, persistence tests, and transaction costs
Bajgrowicz, Pierre; Scaillet, Olivier - 2009 - This version: Sept. 2009
We revisit the apparent historical success of technical trading rules on daily prices of the DJIA index from 1897 to 2011, and use the False Discovery Rate as a new approach to data snooping. The advantage of the FDR over existing methods is that it selects more outperforming rules which allows...
Persistent link: https://www.econbiz.de/10003961414
Cover Image
Accounting-Based Valuation and Predictability of Stock Market Returns : A Re-Examination
Fang, Jing - 2019
Using monthly data from 01/1985 to 12/2012, we find that the accounting valuation-based predictor introduced in Lee … the accounting valuation-based predictor does not suffer the problem of instable in-sample and poor out … the accounting valuation-based predictor, suggesting that the accounting valuation-based predictor carries information not …
Persistent link: https://www.econbiz.de/10014103309
Cover Image
Why Do Options Prices Predict Stock Returns?
Lin, Tse-Chun - 2014
We use a new approach to assess the information transmission between options and stock markets. We study whether the predictive power of option-implied volatilities (IVs) on stock returns lies in analyst-related and/or earnings-related news. We find that two proxies for options trading (IV skew...
Persistent link: https://www.econbiz.de/10013058159
Cover Image
Media-Expressed Tone, Option Characteristics, and Stock Return Predictability
Chen, Cathy Yi‐Hsuan - 2020
We distill tone from a huge assortment of NASDAQ articles to examine the predictive power of media-expressed tone in single-stock option markets and equity markets. We find that (1) option markets are impacted by media tone; (2) option variables predict stock returns along with tone; (3) option...
Persistent link: https://www.econbiz.de/10012827650
Cover Image
Paper profits from value, size and momentum : Evidence from the Polish market
Zaremba, Adam; Konieczka, Przemysław - In: E-Finanse : finansowy kwartalnik internetowy 11 (2015) 3, pp. 58-69
factor premiums are present after accounting for liquidity constraints. Fourth, we check whether the factor premiums are …, but they disappear after accounting for transaction costs and liquidity. …
Persistent link: https://www.econbiz.de/10011455379
Cover Image
Variation in Option Implied Volatility Spread and Future Stock Returns
DeLisle, Jared - 2020
Equity option markets exhibit intense trading activity. We use the variability of option implied volatility spread as a proxy for the impounding of new information, and changes in the interpretation of existing information, into option prices. Over the 2006 – 2016 period, we find that the...
Persistent link: https://www.econbiz.de/10012836056
Cover Image
Disagreement in the Equity Options Market and Stock Returns
Golez, Benjamin - 2020
We estimate investor disagreement from synthetic long and short stock trades in the equity options market. We show that high disagreement predicts low stock returns after positive earnings surprises and high stock returns after negative earnings surprises. The negative effect is stronger for...
Persistent link: https://www.econbiz.de/10012848017