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Is There Price Discovery in Equity Options?
Muravyev, Dmitriy - 2011
We use “tick-by-tick” quote data for 39 liquid U.S. stocks and options on them, and focus on events when the two markets disagree about the stock price in the sense that the option-implied stock price obtained from the put-call parity relation is inconsistent with the actual stock price....
Persistent link: https://www.econbiz.de/10013131210
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Is There Price Discovery in Equity Options?
Muravyev, Dmitriy - 2012
This paper presents direct evidence that option price quotes do not contain any information about future stock prices beyond what is already reflected in current stock prices. We use trade and quote data for 39 liquid U.S. stocks and ETFs and options on them, and focus on events when the two...
Persistent link: https://www.econbiz.de/10013115657
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The Joint Cross Section of Stocks and Options
Ang, Andrew - 2012
increases in implied volatility over the next month, but realized volatility tends to decrease. The results are consistent with …
Persistent link: https://www.econbiz.de/10013116493
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The Joint Cross Section of Stocks and Options
An, Byeong-Je - 2014
volatility over the next month, but with decreasing realized volatility. These predictability patterns are consistent with …
Persistent link: https://www.econbiz.de/10013066588
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The Joint Cross Section of Stocks and Options
An, Byeong-Je - 2013
volatility over the next month, but with decreasing realized volatility. These predictability patterns are consistent with …
Persistent link: https://www.econbiz.de/10013073570
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Positive stock information in out-of-the-money option prices
Gkionis, Konstantinos; Kostakis, Alexandros; … - In: Journal of banking & finance 128 (2021), pp. 1-19
Persistent link: https://www.econbiz.de/10012821608
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Impact of Single Stock Futures on the Volatility of Underlying Indian Stocks
Jithendranathan, Thadavillil - 2014
This study aims to test the influence of the introduction of derivative contracts on the volatility of the underlying … the influence on the volatility of the underlying stock returns. An interesting aspect of the Indian SSF market is that … support the hypothesis that introduction of single stock futures reduce the volatility of the returns of the underlying stock …
Persistent link: https://www.econbiz.de/10013048329
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Impact of Single Stock Futures on the Volatility of Underlying Russian Stocks
Jithendranathan, Thadavillil - 2014
This paper looks into the effect of Single Stock Futures (SSF) introduction on the trading volume and volatility of … shift from the spot market to the futures markets. Using a GARCH (1,1) model the underlying stock volatility for 5 different … stocks are estimated and these results indicate that there is a reduction in volatility after the introduction of SSF in the …
Persistent link: https://www.econbiz.de/10013048332
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Does option trading affect idiosyncratic momentum?
Guo, Songchan; Pyo, Unyong - In: Cogent economics & finance 8 (2020) 1, pp. 1-19
Portfolios in idiosyncratic momentum are formed on past residuals of the Fama-French three factor model rather than past total returns. This study examines whether the idiosyncratic momentum strategy can sustain excess returns following the emergence of traded options. We compare idiosyncratic...
Persistent link: https://www.econbiz.de/10013179587
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ESO Valuation with Job Termination Risk and Jumps in Stock Price
Leung, Tim - 2015
Employee stock options (ESOs) are American-style call options that can be terminated early due to employment shock. This paper studies an ESO valuation framework that accounts for job termination risk and jumps in the company stock price. Under general Levy stock price dynamics, we show that a...
Persistent link: https://www.econbiz.de/10013035889