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Gambling preference and individual equity option returns
Byun, Suk Joon; Kim, Da-Hea - In: Journal of financial economics 122 (2016) 1, pp. 155-174
Persistent link: https://www.econbiz.de/10011590896
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Do options price predictable patterns in future stock returns? : evidence from accounting anomalies
Schonberger, Bryce; Subramanyam, K. R.; Hong, Hyun A. - 2015 - Draft: August 2015
stock prices. Further analysis suggests that high costs of trading options — implied volatility premiums and transaction … profit opportunities of significant magnitudes, even after transaction costs, for trading strategies that sell options. Our …
Persistent link: https://www.econbiz.de/10011807960
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A Smiling Bear in the Equity Options Market and the Cross-Section of Stock Returns
Park, Hye-hyun - 2018
-looking measure of excess tail-risk contribution to the perceived variance of underlying equity returns. Using equity options data for …-adjusted basis. Our empirical findings indicate the contribution of informed options trading to price discovery in terms of the …
Persistent link: https://www.econbiz.de/10012937123
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Differences in options investors' expectations and the cross-section of stock returns
Andreou, Panayiotis C.; Kagkadis, Anastasios; Philip, Dennis - In: Journal of banking & finance 94 (2018), pp. 315-336
Persistent link: https://www.econbiz.de/10011966661
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Early exercise, implied volatility spread and future stock return : jumps bind them all
Garrett, Ian; Gazi, Adnan - In: The journal of futures markets 44 (2024) 5, pp. 720-743
Persistent link: https://www.econbiz.de/10014536677
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A joint factor model for bonds, stocks, and options
Bali, Turan G.; Beckmeyer, Heiner; Goyal, Amit - 2023 - This version: November 8, 2023
Persistent link: https://www.econbiz.de/10014483091
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Volatility spreads and earnings announcement returns
Atilgan, Yigit - In: Journal of banking & finance 38 (2014), pp. 205-215
Persistent link: https://www.econbiz.de/10010340778
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Variation in option implied volatility spread and future stock returns
DeLisle, R. Jared; Diavatopoulos, Dean; Fodor, Andy; … - In: The quarterly review of economics and finance : journal … 83 (2022), pp. 152-160
Persistent link: https://www.econbiz.de/10013258547
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The contribution of transaction costs to expected stock returns : a novel measure
Hiraki, Kazuhiro; Skiadopoulos, George - 2023
We document that a theoretically founded, real-time, and easy-to-implement option-based measure, termed synthetic-stock difference (SSD), accurately estimates the part of stock's expected return arising from stock's transaction costs. We calculate SSD for U.S. optionable stocks. SSD can be more...
Persistent link: https://www.econbiz.de/10014231634
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The effect of option-implied skewness on delta- and vega-hedged option returns
Borochin, Paul; Wu, Zekun; Zhao, Yanhui - In: Journal of international financial markets, … 74 (2021), pp. 1-20
Persistent link: https://www.econbiz.de/10012803250