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The informational role of options markets: Evidence from FOMC announcements · Study

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ArticleThe informational role of options markets: Evidence from FOMC announcements

Brian Du2018

Article2018

The informational role of options markets: Evidence from FOMC announcements

Brian Du · Scott Siu Kuen Fung · Robert Loveland

24 citations·0/0 files stored·Journal of Banking & Finance

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Financial Markets and Investment Strategies Stochastic processes and financial applications Market Dynamics and Volatility

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References

1993Common risk factors in the returns on stocks and bonds 1997On Persistence in Mutual Fund Performance 2008Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches 2005What Explains the Stock Market's Reaction to Federal Reserve Policy?2001Monetary policy surprises and interest rates: Evidence from the Fed funds futures market 1987Constraints on short-selling and asset price adjustment to private information 2009Expected Stock Returns and Variance Risk Premia 2008Variance Risk Premiums

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2020Risk-Neutral Skewness, Informed Trading, and the Cross Section of Stock Returnsarticle · 16 shared references 2020Informed Options Trading Before Corporate Eventsreview · 14 shared references 2016Slow diffusion of information and price momentum in stocks: Evidence from options marketsarticle · 13 shared references 2018Volatility jumps and macroeconomic news announcementsarticle · 13 shared references 2019Short-Sale Constraints and Options Trading: Evidence from Reg SHOarticle · 13 shared references 2014Why do options prices predict stock returns? Evidence from analyst tippingarticle · 12 shared references

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Year2018

Typearticle

Published2018-05-23

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations24

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.jbankfin.2018.05.013

openalex_workW2803499121

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