strategies are also investigated, allowing for limited short selling and the inclusion of synthetic options in the security set. …

strategies are also investigated, allowing for limited short selling and the inclusion of synthetic options in the security set. …

constrained with the short-sale of state-dependent risky contingent claims. In equilibrum, agents hold options written on …

trading around quarterly earnings announcements is either directionally motivated and/or volatility motivated. We found … announcements and use at-the-money options to exploit their informational advantage. In the post-event period, however, informed … option investors trade by using deep-out-of-the-money and out-of-the-money options. We documented limited evidence on the …