Blau, Benjamin M.; Nguyen, Nga; Whitby, Ryan J. - In: Journal of Banking & Finance 43 (2014) C, pp. 179-187
A broad stream of research shows that information flows into underlying stock prices through the options market. For instance, prior research shows that both the Put–Call Ratio (P/C) and the Option-to-Stock Volume Ratio (O/S) predict negative future stock returns. In this paper, we compare the...