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Option prices and stock market momentum: evidence from China
16 references·0 citing·42 second hop
Option prices and stock market momentum: evidence from China (2018)Option prices and stock market momentum: …Size, value, and momentum in international stock returns (2012)Size, value, and momentum in …The Information in Option Volume for Future Stock Prices (2006)The Information in Option Vol…Options, Futures and Other Derivatives (2003)Options, Futures and Other De…DotCom Mania: The Rise and Fall of Internet Stock Prices (2003)DotCom Mania: The Rise and Fa…Can the Market Add and Subtract? Mispricing in Tech Stock Carve‐outs (2003)Can the Market Add and Subtra…How Distance, Language, and Culture Influence Stockholdings and Trades (2001)How Distance, Language, and C…Can book-to-market, size and momentum be risk factors that predict economic growth? (2000)Can book-to-market, size and …Do foreign investors destabilize stock markets? The Korean experience in 1997 (1999)Do foreign investors destabil…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Trading Volume and Serial Correlation in Stock Returns (1993)Trading Volume and Serial Cor…Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…When Are Contrarian Profits Due to Stock Market Overreaction? (1990)When Are Contrarian Profits D…Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Stock Market Prices Do Not Fo…STANDARD DEVIATIONS OF STOCK PRICE RATIOS IMPLIED IN OPTION PRICES (1976)STANDARD DEVIATIONS OF STOCK …SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS* (1976)SKEWNESS PREFERENCE AND THE V…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…PORTFOLIO SELECTION* (1952)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The relationship between return and market value of common stocks (1981)Conditional Skewness in Asset Pricing Tests (2000)… and the Cross-Section of Expected Returns (2015)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)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)Theory of rational option pricing (2005)Investor Diversification and International Equity Markets (1991)Home Bias at Home: Local Equity Preference in Domestic Portfolios (1999)Investor Psychology and Asset Pricing (2001)The Geography of Investment: Informed Trading and Asset Prices (2001)Does Distance Still Matter? The Information Revolution in Small Business Lending (2002)Household Finance (2006)Risk, Return, and Equilibrium: Empirical Tests (1973)Does the Stock Market Overreact? (1985)The Cross-Section of Expected Stock Returns (1992)Multifactor Explanations of Asset Pricing Anomalies (1996)A five-factor asset pricing model (2014)Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatility Change Over Time? (1989)Noise Trader Risk in Financial Markets (1990)A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets (1999)Liquidity Risk and Expected Stock Returns (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Common risk factors in the returns on stocks and bonds (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)The Behavior of Stock-Market Prices (1965)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Efficient Capital Markets: II (1991)Deep learning with long short-term memory networks for financial market predictions (2017)Specification Tests in Econometrics (1978)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Arbitrage Theory in Continuous Time (1998)Arbitrage Theory in Continuous Time (2004)Facts and Fantasies about Commodity Futures (2006)Value and Momentum Everywhere (2013)Choosing factors (2018)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 2003Options, Futures and Other Derivatives3,864 cited
  • 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test3,759 cited
  • 2012Size, value, and momentum in international stock returns1,837 cited
  • 1976SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS*1,808 cited
  • 1990When Are Contrarian Profits Due to Stock Market Overreaction?1,707 cited
  • 2001How Distance, Language, and Culture Influence Stockholdings and Trades1,694 cited
  • 1993Trading Volume and Serial Correlation in Stock Returns1,560 cited
  • 2000Can book-to-market, size and momentum be risk factors that predict economic growth?1,012 cited
  • 1999Do foreign investors destabilize stock markets? The Korean experience in 1997975 cited
  • 2003DotCom Mania: The Rise and Fall of Internet Stock Prices916 cited
  • 2006The Information in Option Volume for Future Stock Prices847 cited
  • 2003Can the Market Add and Subtract? Mispricing in Tech Stock Carve‐outs

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698 cited
  • 1976STANDARD DEVIATIONS OF STOCK PRICE RATIOS IMPLIED IN OPTION PRICES642 cited
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