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The informational role of options markets: Evidence from FOMC announcements
16 references·0 citing·38 second hop
The informational role of options markets: Evidence from FOMC announcements (2018)The informational role of options markets…Risk, uncertainty and monetary policy (2013)Risk, uncertainty and monetar…Expected Stock Returns and Variance Risk Premia (2009)Expected Stock Returns and Va…Variance Risk Premiums (2008)Variance Risk PremiumsEstimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)Estimating Standard Errors in…Insider trading in credit derivatives☆ (2007)Insider trading in credit der…The Information in Option Volume for Future Stock Prices (2006)The Information in Option Vol…What Explains the Stock Market's Reaction to Federal Reserve Policy? (2005)What Explains the Stock Marke…Market Frictions, Price Delay, and the Cross-Section of Expected Returns (2005)Market Frictions, Price Delay…Monetary policy surprises and interest rates: Evidence from the Fed funds futures market (2001)Monetary policy surprises and…Economic News and Bond Prices: Evidence from the U.S. Treasury Market (2001)Economic News and Bond Prices…Option Volume and Stock Prices: Evidence on Where Informed Traders Trade (1998)Option Volume and Stock Price…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Diversification, Size, and Risk at Bank Holding Companies (1997)Diversification, Size, and Ri…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Constraints on short-selling and asset price adjustment to private information (1987)Constraints on short-selling …Fact and Fantasy in the Use of Options (1975)Fact and Fantasy in the Use o…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Bond Risk Premia (2005)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)How Sovereign Is Sovereign Credit Risk? (2011)RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION (1977)Information Effects on the Bid-Ask Spread (1983)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Market liquidity and volume around earnings announcements (1994)Differences of Opinion and the Cross Section of Stock Returns (2002)Differences of Opinion, Short-Sales Constraints, and Market Crashes (2003)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Tails, Fears, and Risk Premia (2011)The VIX, the variance premium and stock market volatility (2014)Momentum crashes (2016)Macroeconomics and Reality (1980)Discretion versus policy rules in practice (1993)The Impact of Uncertainty Shocks (2009)Economic policy uncertainty: A literature review (2019)U.S. Monetary Policy and the Global Financial Cycle (2020)Specification Tests in Econometrics (1978)Econometric Analysis of Cross Section and Panel Data (2001)Robust Standard Errors for Panel Regressions with Cross-Sectional Dependence (2007)Robust Inference With Multiway Clustering (2011)Policy Uncertainty and Corporate Investment (2015)The profitability of european banks: a cross‐sectional and dynamic panel analysis (2004)The dark side of diversification: The case of US financial holding companies (2005)Bank income structure and risk: An empirical analysis of European banks (2007)Multifactor Explanations of Asset Pricing Anomalies (1996)Do Actions Speak Louder Than Words? The Response of Asset Prices to Monetary Policy Actions and Statements (2004)Capital regulation, risk-taking and monetary policy: A missing link in the transmission mechanism? (2011)Uncertainty about Government Policy and Stock Prices (2012)High Frequency Identification of Monetary Non-Neutrality: The Information Effect (2013)Monetary Policy Surprises, Credit Costs, and Economic Activity (2015)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 2008Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches10,793 cited
  • 2005What Explains the Stock Market's Reaction to Federal Reserve Policy?2,382 cited
  • 2001Monetary policy surprises and interest rates: Evidence from the Fed funds futures market2,054 cited
  • 1987Constraints on short-selling and asset price adjustment to private information1,796 cited
  • 2009Expected Stock Returns and Variance Risk Premia1,776 cited
  • 2008Variance Risk Premiums1,328 cited
  • 2013Risk, uncertainty and monetary policy1,237 cited
  • 1997Diversification, Size, and Risk at Bank Holding Companies1,092 cited
  • 1998Option Volume and Stock Prices: Evidence on Where Informed Traders Trade1,089 cited
  • 2005Market Frictions, Price Delay, and the Cross-Section of Expected Returns1,088 cited
  • 1975Fact and Fantasy in the Use of Options1,021 cited
  • 2001Economic News and Bond Prices: Evidence from the U.S. Treasury Market896 cited
  • 2006The Information in Option Volume for Future Stock Prices847 cited

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  • 2007Insider trading in credit derivatives☆827 cited
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