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The Information in Option Volume for Stock Prices
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The Information in Option Volume for Stock Prices (2003)The Information in Option Volume for Stoc…Theory of rational option pricing (2005)Theory of rational option pri…Informational content of option volume prior to takeovers (2005)Informational content of opti…Informed Trading in Stock and Option Markets (2004)Informed Trading in Stock and…Option Volume and Stock Prices: Evidence on Where Informed Traders Trade (1998)Option Volume and Stock Price…Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…Options, Short Sales, and Market Completeness (1993)Options, Short Sales, and Mar…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Inferring Trade Direction from Intraday Data (1991)Inferring Trade Direction fro…When Are Contrarian Profits Due to Stock Market Overreaction? (1990)When Are Contrarian Profits D…Intraday Price Change and Trading Volume Relations in the Stock and Stock Option Markets (1990)Intraday Price Change and Tra…When are Contrarian Profits Due to Stock Market Overreaction? (1989)When are Contrarian Profits D…Option Prices as Predictors of Equilibrium Stock Prices (1982)Option Prices as Predictors o…Fact and Fantasy in the Use of Options (1975)Fact and Fantasy in the Use o…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)The Behavior of Stock-Market Prices (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Does the Stock Market Overreact? (1985)Multifactor Explanations of Asset Pricing Anomalies (1996)Investor Psychology and Security Market Under‐ and Overreactions (1998)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)The High‐Volume Return Premium (2001)Demand-Based Option Pricing (2005)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Illiquidity and stock returns: cross-section and time-series effects (2002)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Do Industries Explain Momentum? (1999)Improved estimation of the covariance matrix of stock returns with an application to portfolio selection (2003)Maxing out: Stocks as lotteries and the cross-section of expected returns (2010)Nonparametric Tests of Alternative Option Pricing Models Using All Reported Trades and Quotes on the 30 Most Active CBOE Option Classes from August 23, 1976 Through August 31, 1978 (1985)The Information in Option Volume for Future Stock Prices (2006)Commonality in liquidity (2000)Is Information Risk a Determinant of Asset Returns? (2002)Does Algorithmic Trading Improve Liquidity? (2011)Option pricing: A simplified approach (1979)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1991Inferring Trade Direction from Intraday Data3,150 cited
  • 1990When Are Contrarian Profits Due to Stock Market Overreaction?1,707 cited
  • 1998Option Volume and Stock Prices: Evidence on Where Informed Traders Trade1,089 cited
  • 1975Fact and Fantasy in the Use of Options1,021 cited
  • 2004Informed Trading in Stock and Option Markets750 cited
  • 1989When are Contrarian Profits Due to Stock Market Overreaction?474 cited
  • 1993Options, Short Sales, and Market Completeness463 cited
  • 1990Intraday Price Change and Trading Volume Relations in the Stock and Stock Option Markets444 cited
  • 1982Option Prices as Predictors of Equilibrium Stock Prices415 cited
  • 2005

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Informational content of option volume prior to takeovers
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