Informed traders often use options that are not in-the-money due to higher potential gains for a smaller upfront cost. Thus, trading activity by option moneyness should be a gauge of informed option trading. We construct a dollar volume-weighted average moneyness measure to capture option...

In 2018 a currency crisis occurred in Turkey, accompanied by varied and differential trading amongst investors. We classify investors as foreign or local investors as well as individual or institutional and examine trading behavior and associated returns leading up to, during and after the...

This study explores the time series variability of the Stambaugh et al. (2012) aggregate mispricing score as well as its eleven individual components. We find that the predictive power of the mispricing score for future stock returns improves significantly when the mispricing score has been more...

Levitt (2004) demonstrates that, contrary to conventional wisdom, sports books may not try to balance the money wagered on the sides of a game but instead exploit preferences of bettors in order to maximize expected profits. Levitt's findings are based on unique data from a wagering contest of...