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Stock Splits, Volatility Increases, and Implied Volatilities
8 references·12 citing·44 second hopsampled
Stock Splits, Volatility Increases, and Implied Volatilities (1989)Stock Splits, Volatility Increases, and I…Volatility increases subsequent to stock splits: An empirical aberration (1985)Volatility increases subseque…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)Nonparametric Tests of Altern…The valuation effects of stock splits and stock dividends (1984)The valuation effects of stoc…Standard deviations implied in option prices as predictors of future stock price variability (1981)Standard deviations implied i…Trading costs for listed options (1980)Trading costs for listed opti…COMMON STOCK VOLATILITY EXPECTATIONS IMPLIED BY OPTION PREMIA (1978)COMMON STOCK VOLATILITY EXPEC…An analytic valuation formula for unprotected American call options on stocks with known dividends (1977)An analytic valuation formula…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Informed Trading around Stock Split Announcements: Evidence from the Option Market (2017)Informed Trading around Stock…The Textual Contents of Media Reports of Information Security Breaches and Profitable Short-Term Investment Opportunities (2013)The Textual Contents of Media…The tradeoff between risk sharing and information production in financial markets (2009)The tradeoff between risk sha…The Impact of Clientele Changes: Evidence from Stock Splits (2009)The Impact of Clientele Chang…The valuation effects of stock splits in NASDAQ (2006)The valuation effects of stoc…Earnings announcements and equity options (2004)Earnings announcements and eq…Event-related GARCH: the impact of stock dividends in Turkey (2003)Event-related GARCH: the impa…Evolution of market uncertainty around earnings announcements (2001)Evolution of market uncertain…THE EFFECTS OF STOCK SPLITS ON THE OWNERSHIP MIX OF A FIRM (1993)THE EFFECTS OF STOCK SPLITS O…The Behavior of Volatility Expectations and Their Effects on Expected Returns (1993)The Behavior of Volatility Ex…Why Companies Issue Stock Splits (1992)Why Companies Issue Stock Spl…Beta Changes around Stock Splits Revisited (1992)Beta Changes around Stock Spl…Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Interrelation of Stock and Options Market Trading-Volume Data (1988)An Investigation of Market Microstructure Impacts on Event Study Returns (1991)Negotiating a Market, Performing Theory: The Historical Sociology of a Financial Derivatives Exchange (2001)Theory of Rational Option Pricing (1973)Anticipated information releases reflected in call option prices (1979)Valuation of American call options on dividend-paying stocks (1982)Theory of rational option pricing (2005)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)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)The Adjustment of Stock Prices to New Information (1969)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Using daily stock returns (1985)Stock Splits, Tick Size, and Sponsorship (2000)How Stock Splits Affect Trading: A Microstructure Approach (2001)Price-based return comovement (2009)Option pricing when underlying stock returns are discontinuous (1976)The valuation of options for alternative stochastic processes (1976)One-Factor Interest-Rate Models and the Valuation of Interest-Rate Derivative Securities (1993)New Insights into Smile, Mispricing, and Value at Risk: The Hyperbolic Model (1998)Risk-Neutral Skewness: Evidence from Stock Options (2002)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Job Market Signaling (1973)The Determination of Financial Structure: The Incentive-Signalling Approach (1977)Stock Prices and the Supply of Information (1991)What Do Stock Splits Really Signal? (1996)Tick Size, Share Prices, and Stock Splits (1997)Fact and Fantasy in the Use of Options (1975)Option pricing: A simplified approach (1979)Option Volume and Stock Prices: Evidence on Where Informed Traders Trade (1998)The directional information content of options volumes (2018)Informed Trading in the Stock Market and Option-Price Discovery (2020)Risk-Neutral Skewness, Informed Trading, and the Cross Section of Stock Returns (2020)The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures (1999)Volatility in crude oil futures: A comparison of the predictive ability of GARCH and implied volatility models (2008)Tests of the Black-Scholes and Cox Call Option Valuation Models (1980)Do option markets correctly price the probabilities of movement of the underlying asset? (2001)The predictive power of implied volatility: Evidence from 35 futures markets (2003)Tests of investor learning models using earnings innovations and implied volatilities (2016)Multimodal Multi-Task Financial Risk Forecasting (2020)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1985Nonparametric 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, 1978646 cited
  • 1984The valuation effects of stock splits and stock dividends629 cited
  • 1977An analytic valuation formula for unprotected American call options on stocks with known dividends378 cited
  • 1981Standard deviations implied in option prices as predictors of future stock price variability371 cited
  • 1985Volatility increases subsequent to stock splits: An empirical aberration255 cited
  • 1978COMMON STOCK VOLATILITY EXPECTATIONS IMPLIED BY OPTION PREMIA227 cited
  • 1980Trading costs for listed options207 cited

Cited by

  • 2017Informed Trading around Stock Split Announcements: Evidence from the Option Market53 cited
  • 2001Evolution of market uncertainty around earnings announcements49 cited
  • 2003Event-related GARCH: the impact of stock dividends in Turkey49 cited
  • 2009The tradeoff between risk sharing and information production in financial markets38 cited
  • 2009The Impact of Clientele Changes: Evidence from Stock Splits37 cited
  • 2013The Textual Contents of Media Reports of Information Security Breaches and Profitable Short-Term Investment Opportunities

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36 cited
  • 2004Earnings announcements and equity options35 cited
  • 1992Beta Changes around Stock Splits Revisited31 cited
  • 1992Why Companies Issue Stock Splits28 cited
  • 1993The Behavior of Volatility Expectations and Their Effects on Expected Returns24 cited
  • 1993THE EFFECTS OF STOCK SPLITS ON THE OWNERSHIP MIX OF A FIRM23 cited
  • 2006The valuation effects of stock splits in NASDAQ19 cited