Borochin, Paul and Yang, Jie 2017. Options, equity risks, and the value of capital structure adjustments. Journal of Corporate Finance, Vol. 42, p. 150.
Chen, Zhuo and Lu, Andrea 2017. Slow diffusion of information and price momentum in stocks: Evidence from options markets. Journal of Banking & Finance, Vol. 75, p. 98.
Han, Bing Subrahmanyam, Avanidhar and Zhou, Yi 2017. The term structure of credit spreads, firm fundamentals, and expected stock returns. Journal of Financial Economics,
Marabel Romo, Jacinto 2017. Pricing volatility options under stochastic skew with application to the VIX index. The European Journal of Finance, Vol. 23, Issue. 4, p. 353.
2017. Machine Trading.
2017. Machine Trading.
Azarmi, Ted and Borochin, Paul 2016. The Financial Crisis.
Byun, Suk-Joon and Kim, Da-Hea 2016. Gambling preference and individual equity option returns. Journal of Financial Economics, Vol. 122, Issue. 1, p. 155.
Carr, Peter and Wu, Liuren 2016. Analyzing volatility risk and risk premium in option contracts: A new theory. Journal of Financial Economics, Vol. 120, Issue. 1, p. 1.
Chen, Chao-Chun and Wang, Shih-Hua 2016. Net Buying Pressure and Option Informed Trading. Journal of Futures Markets,
Chen, Chien-Hua Su, Xuan-Qi and Lin, Jun-Biao 2016. The role of information uncertainty in moving-average technical analysis: A study of individual stock-option issuance in Taiwan. Finance Research Letters, Vol. 18, p. 263.
Ersan, Oguz and Alıcı, Aslı 2016. An unbiased computation methodology for estimating the probability of informed trading (PIN). Journal of International Financial Markets, Institutions and Money, Vol. 43, p. 74.
Fu, Xi Arisoy, Y. Eser Shackleton, Mark B. and Umutlu, Mehmet 2016. Option-Implied Volatility Measures and Stock Return Predictability. The Journal of Derivatives, Vol. 24, Issue. 1, p. 58.
Ge, Li Lin, Tse-Chun and Pearson, Neil D. 2016. Why does the option to stock volume ratio predict stock returns?. Journal of Financial Economics, Vol. 120, Issue. 3, p. 601.
Hao, (Grace) Qing 2016. Is there information leakage prior to share repurchase announcements? Evidence from daily options trading. Journal of Financial Markets, Vol. 27, p. 79.
Huang, MeiChi Wu, Chih-Chiang Liu, Shih-Min and Wu, Chang-Che 2016. Facts or fates of investors' losses during crises? Evidence from REIT-stock volatility and tail dependence structures. International Review of Economics & Finance, Vol. 42, p. 54.
Huang, Henry H. Wang, Kent and Wang, Zhanglong 2016. A test of efficiency for the S&P 500 index option market using the generalized spectrum method. Journal of Banking & Finance, Vol. 64, p. 52.
Kiani, Khurshid M. 2016. On Modelling and Forecasting Predictable Components in European Stock Markets. Computational Economics, Vol. 48, Issue. 3, p. 487.
Kim, Donghan Kim, Jun Sik and Seo, Sung Won 2016. What options to trade and when: Evidence from seasoned equity offerings. Journal of Financial Markets,
Kim, Jun Sik Kim, Da-Hea and Seo, Sung Won 2016. Investor Sentiment and Return Predictability of the Option to Stock Volume Ratio. Financial Management,
Deviations from put-call parity contain information about future stock returns. Using the difference in implied volatility between pairs of call and put options to measure these deviations, we find that stocks with relatively expensive calls outperform stocks with relatively expensive puts by 50 basis points per week. We find both positive abnormal performance in stocks with relatively expensive calls and negative abnormal performance in stocks with relatively expensive puts, which cannot be explained by short sale constraints. Rebate rates from the stock lending market directly confirm that our findings are not driven by stocks that are hard to borrow. The degree of predictability is larger when option liquidity is high and stock liquidity low, while there is little predictability when the opposite is true. Controlling for size, option prices are more likely to deviate from strict put-call parity when underlying stocks face more information risk. The degree of predictability decreases over the sample period. Our results are consistent with mispricing during the earlier years of the study, with a gradual reduction of the mispricing over time.
This list contains references from the content that can be linked to their source. For a full set of references and notes please see the PDF or HTML where available.
Email your librarian or administrator to recommend adding this journal to your organisation's collection.
Full text views reflects the number of PDF downloads, PDFs sent to Google Drive, Dropbox and Kindle and HTML full text views.
Abstract views reflect the number of visits to the article landing page.
* Views captured on Cambridge Core between September 2016 - 30th April 2017. This data will be updated every 24 hours.