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The option to stock volume ratio and future returns · Study

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ArticleThe option to stock volume ratio and future returns

Travis L. Johnson2012

OA

Articlegreen2012

The option to stock volume ratio and future returns

Travis L. Johnson · Eric C. So

356 citations·0/0 files stored·Journal of Financial Economics

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Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Stochastic processes and financial applications

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References

1973Risk, Return, and Equilibrium: Empirical Tests 2002Illiquidity and stock returns: cross-section and time-series effects 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders 2007All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors 1990Evidence of Predictable Behavior of Security Returns 1987Constraints on short-selling and asset price adjustment to private information 1990Fads, Martingales, and Market Efficiency 2000Price Momentum and Trading Volume

Cited by

2014The Joint Cross Section of Stocks and Options 2013Does option trading convey stock price information?2016Why does the option to stock volume ratio predict stock returns?2023Option Return Predictability with Machine Learning and Big Data 2012Do option markets undo restrictions on short sales? Evidence from the 2008 short-sale ban 2014

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Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2013The Joint Cross Section of Stocks and Optionsreport · 13 shared references 2020Risk-Neutral Skewness, Informed Trading, and the Cross Section of Stock Returnsarticle · 12 shared references 2014The Joint Cross Section of Stocks and Optionsarticle · 10 shared references 2013Does option trading convey stock price information?article · 10 shared references 2017Option Listing and Information Asymmetryarticle · 10 shared references 2011All the News That's Fit to Reprint: Do Investors React to Stale Information?article · 9 shared references

Details

Year2012

Typearticle

Published2012-05-17

VenueJournal of Financial Economics

ISSN-L0304-405X

Languageen

Citations356

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.jfineco.2012.05.008

openalex_workW3125879967

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. . . and the Cross-Section of Expected Returns

2019Informed Options Trading Prior to Takeover Announcements: Insider Trading?

2013The Joint Cross Section of Stocks and Options