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Why Option Prices Lag Stock Prices: A Trading-Based Explanation
4 references·16 citing·46 second hop
Why Option Prices Lag Stock Prices: A Trading-Based Explanation (1993)Why Option Prices Lag Stock Prices: A Tra…Intraday Price Change and Trading Volume Relations in the Stock and Stock Option Markets (1990)Intraday Price Change and Tra…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Option Prices as Predictors of Equilibrium Stock Prices (1982)Option Prices as Predictors o…Multivariate tests of financial models (1982)Multivariate tests of financi…The Joint Cross Section of Stocks and Options (2013)The Joint Cross Section of St…The Information Content of Trades: An Analysis of KOSPI 200 Index Derivatives (2013)The Information Content of Tr…Is there price discovery in equity options? (2012)Is there price discovery in e…Audit quality and information asymmetry between traders (2011)Audit quality and information…Economic linkages across commodity futures: Hedging and trading implications (2008)Economic linkages across comm…Do informed option investors predict stock returns? Evidence from the Taiwan stock exchange (2008)Do informed option investors …Stealth Trading in Options Markets (2007)Stealth Trading in Options Ma…Informational Content of Option Volume Prior to Takeovers (2005)Informational Content of Opti…The Fear and Exuberance from Implied Volatility of S&P 100 Index Options (2004)The Fear and Exuberance from …Market Microstructure (2003)Market MicrostructureModeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market (1999)Modeling the Impacts of Marke…A note on the impact of options on stock return volatility (1998)A note on the impact of optio…High frequency analysis of lead-lag relationships between financial markets (1997)High frequency analysis of le…Information, Trade, and Derivative Securities: Table 1 (1996)Information, Trade, and Deriv…A further investigation of the lead-lag relationship between the cash market and stock index futures market with the use of bid/ask quotes: The case of France (1996)A further investigation of th…A Characterization of the Daily and Intraday Behavior of Returns on Options (1994)A Characterization of the Dai…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Risk, Return, and Equilibrium: Empirical Tests (1973)Consistent Covariance Matrix Estimation with Cross-Sectional Dependence and Heteroskedasticity in Financial Data (1989)The Pricing of Exchange Rate Risk in the Stock Market (1991)Political Risk, Economic Risk, and Financial Risk (1996)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)The Pricing of Options and Corporate Liabilities (1973)Trading costs and the relative rates of price discovery in stock, futures, and option markets (1996)High frequency data in financial markets: Issues and applications (1997)Order Flow, Transaction Clock, and Normality of Asset Returns (2000)Investigating Causal Relations by Econometric Models and Cross-Spectral Methods (2010)The market for corporate control (1983)Inferring Trade Direction from Intraday Data (1991)What Does Individual Option Volatility Smirk Tell Us About Future Equity Returns? (2008)More insiders, more insider trading: Evidence from private-equity buyouts☆ (2010)Theory of Rational Option Pricing (1973)Theory of rational option pricing (2005)Model Uncertainty and Option Markets with Heterogeneous Beliefs (2006)The option to stock volume ratio and future returns (2012)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Information and the Intermediary: Are Market Intermediaries Informed Traders in Electronic Markets? (2008)Clean Sweep: Informed Trading through Intermarket Sweep Orders (2012)The Relation Between Price Changes and Trading Volume: A Survey (1987)The Allocation of Informed Trading Across Related Markets: An Analysis of the Impact of Changes in Equity-Option Margin Requirements (1995)The Effect of Derivative Assets on Information Acquisition and Price Behavior in a Rational Expectations Equilibrium (1999)Differences of Opinion of Public Information and Speculative Trading in Stocks and Options (2008)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Option-Implied Risk-Neutral Distributions and Risk Aversion (2004)Neoclassical finance, behavioral finance and noise traders: A review and assessment of the literature (2015)Herding behavior, market sentiment and volatility: Will the bubble resume? (2017)Efficient Capital Markets: II (1991)Measuring the Information Content of Stock Trades (1991)Are Credit Default Swaps a Sideshow? Evidence That Information Flows from Equity to CDS Markets (2015)Order Flow and Expected Option Returns (2015)Illiquidity Premia in the Equity Options Market (2017)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Chasing Private Information (2019)Options Trading Costs Are Lower than You Think (2020)Option Return Predictability (2021)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)
this work references cited by second hop

References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1982Multivariate tests of financial models614 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

Cited by

  • 1996Information, Trade, and Derivative Securities: Table 1187 cited
  • 2012Is there price discovery in equity options?184 cited
  • 2005Informational Content of Option Volume Prior to Takeovers151 cited
  • 2004The Fear and Exuberance from Implied Volatility of S&P 100 Index Options151 cited
  • 2013The Joint Cross Section of Stocks and Options135 cited
  • 2007Stealth Trading in Options Markets129 cited
  • 1997High frequency analysis of lead-lag relationships between financial markets125 cited
  • 1998A note on the impact of options on stock return volatility117 cited
  • 2013The Information Content of Trades: An Analysis of KOSPI 200 Index Derivatives107 cited
  • 2008Do informed option investors predict stock returns? Evidence from the Taiwan stock exchange107 cited
  • 1999Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market

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99 cited
  • 2003Market Microstructure92 cited
  • 2008Economic linkages across commodity futures: Hedging and trading implications92 cited
  • 2011Audit quality and information asymmetry between traders90 cited
  • 1994A Characterization of the Daily and Intraday Behavior of Returns on Options85 cited
  • 1996A further investigation of the lead-lag relationship between the cash market and stock index futures market with the use of bid/ask quotes: The case of France83 cited