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Do option open-interest changes foreshadow future equity returns? · Study

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ArticleDo option open-interest changes foreshadow future equity returns?

Andy Fodor2011

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Articlegreen2011

Do option open-interest changes foreshadow future equity returns?

Andy Fodor · Kevin Krieger · James S. Doran

27 citations·0/0 files stored·Financial markets and portfolio management

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Financial Markets and Investment Strategies Stochastic processes and financial applications Stock Market Forecasting Methods

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References

1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods 1997On Persistence in Mutual Fund Performance 1992The Cross-Section of Expected Stock Returns 1973Risk, Return, and Equilibrium: Empirical Tests 1987Price, trade size, and information in securities markets 1987Constraints on short-selling and asset price adjustment to private information 2000Forecasting Economic Time Series 1995One Security, Many Markets: Determining the Contributions to Price Discovery

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Year2011

Typearticle

Published2011-07-11

VenueFinancial markets and portfolio management

ISSN-L1555-4961

Languageen

Citations27

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1007/s11408-011-0164-z

openalex_workW3124639712

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