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Why do options prices predict stock returns? : evidence from analyst tipping
Lin, Tse-Chun; Lu, Xiaolong - In: Journal of banking & finance 52 (2015), pp. 17-28
Persistent link: https://www.econbiz.de/10011377291
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Option smiling when investors' estimates of asset volatility disagree
Lin, Chien-chih - In: Applied economics 46 (2014) 31/33, pp. 3812-3827
Persistent link: https://www.econbiz.de/10010419898
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Investor sentiment and interest rate volatility smile : evidence from Eurodollar options markets
Chen, Cathy Yi-Hsuan; Kuo, I.-doun - In: Review of quantitative finance and accounting 43 (2014) 2, pp. 367-391
Persistent link: https://www.econbiz.de/10010490403
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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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Volatility, valuation ratios, and bubbles : an empirical measure of market sentiment
Gao, Can; Martin, Ian - 2021
closely and has certain other advantages. Second, we introduce a volatility index that provides a lower bound on the market …
Persistent link: https://www.econbiz.de/10012489383
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Volatility, valuation ratios, and bubbles : an empirical measure of market sentiment
Martin, Ian; Gao, Can - 2019
Persistent link: https://www.econbiz.de/10012041999
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The information content of option ratios
Blau, Benjamin; Nguyen Nga; Whitby, Ryan J. - In: Journal of banking & finance 43 (2014), pp. 179-187
Persistent link: https://www.econbiz.de/10010410010
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How Do Informed Option Traders Trade? Option Trading Activity, News Releases, and Stock Return Predictability
Weinbaum, David - 2020
We examine how informed traders trade in the option market around news announcements. We show that their profits depend on whether positions are long or short, whether trades take place before or after news releases, and whether events are scheduled or unscheduled. We predict and find that...
Persistent link: https://www.econbiz.de/10012856388
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Does options improve the information absorption? : evidence from the introduction of weekly index options
Jain, Prachi; Kotha, Kiran Kumar - In: International review of finance : the official journal … 22 (2022) 4, pp. 770-776
Persistent link: https://www.econbiz.de/10013472716
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An empirical testing of Black-Scholes option pricing model : a study of option moneyness (at-the-money)
Rinky; Singh, Shakti - In: International Journal of Financial Markets and … 9 (2023) 3, pp. 208-229
Persistent link: https://www.econbiz.de/10015064444