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Is There a Risk Premium in the Stock Lending Market? Evidence from Equity Options
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References

  • 1973Theory of Rational Option Pricing8,060 cited
  • 2015Does Academic Research Destroy Stock Return Predictability?1,563 cited
  • 2002The market for borrowing stock1,161 cited
  • 1998Option Volume and Stock Prices: Evidence on Where Informed Traders Trade1,089 cited
  • 1975Fact and Fantasy in the Use of Options1,021 cited
  • 2007Which Shorts Are Informed?966 cited
  • 2015Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle944 cited
  • 2002Short-sale constraints and stock returns899 cited
  • 2005Demand-Based Option Pricing889 cited
  • 2012Ex Ante Skewness and Expected Stock Returns762 cited
  • 2004Informed Trading in Stock and Option Markets750 cited
  • 2010What Does the Individual Option Volatility Smirk Tell Us About Future Equity Returns?712 cited
  • 2015A Taxonomy of Anomalies and Their Trading Costs651 cited
  • 2012Short‐Selling Bans Around the World: Evidence from the 2007–09 Crisis649 cited
  • 2002An Investigation of the Informational Role of Short Interest in the Nasdaq Market633 cited
  • 2010Deviations from Put-Call Parity and Stock Return Predictability

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  • 2017Bank Capital and Bank Stock Performance: When Times are Tough, Capital is King22 cited