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Investor Attention and Option Returns
16 references·2 citing·30 second hopsampled
Investor Attention and Option Returns (2018)Investor Attention and Option ReturnsMispricing Factors (2016)Mispricing FactorsThe other side of value: The gross profitability premium (2013)The other side of value: The …Betting against beta (2013)Betting against betaMaxing out: Stocks as lotteries and the cross-section of expected returns (2010)Maxing out: Stocks as lotteri…All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)All That Glitters: The Effect…The Information in Option Volume for Future Stock Prices (2006)The Information in Option Vol…The Cross‐Section of Volatility and Expected Returns (2006)The Cross‐Section of Volatili…Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk (2005)Momentum and post-earnings-an…Demand-Based Option Pricing (2005)Demand-Based Option PricingAll that Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2005)All that Glitters: The Effect…Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2003)Stock Return Characteristics,…Liquidity Risk and Expected Stock Returns (2003)Liquidity Risk and Expected S…Delta-Hedged Gains and the Negative Market Volatility Risk Premium (2003)Delta-Hedged Gains and the Ne…Option Volume and Stock Prices: Evidence on Where Informed Traders Trade (1998)Option Volume and Stock Price…RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION (1977)RISK, UNCERTAINTY, AND DIVERG…Editor's Choice Digesting Anomalies: An Investment ApproachEditor's Choice Digesting Ano…Too Good to Be True: Look-Ahead Bias in Empirical Options Research (2026)Too Good to Be True: Look-Ahe…Daily Winners and Losers (2017)Daily Winners and LosersRisk, Return, and Equilibrium: Empirical Tests (1973)Financial Ratios and the Probabilistic Prediction of Bankruptcy (1980)Common risk factors in the returns on stocks and bonds (1993)… and the Cross-Section of Expected Returns (2015)Replicating Anomalies (2018)The Pricing of Options and Corporate Liabilities (1973)On Persistence in Mutual Fund Performance (1997)Liquidity and leverage (2008)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)Prospect theory: An analysis of decision under risk (1988)Individual Investor Trading and Stock Returns (2008)It Depends on Where You Search: Institutional Investor Attention and Underreaction to News (2017)The COVID-19 Outbreak and Affected Countries Stock Markets Response (2020)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Market Liquidity and Funding Liquidity (2008)A five-factor asset pricing model (2014)Prospect Theory: An Analysis of Decision under Risk (1979)Does Net Buying Pressure Affect the Shape of Implied Volatility Functions? (2004)The Cross-Section of Expected Stock Returns (1992)Dissecting Anomalies with a Five-Factor Model (2015)Stocks as Lotteries: The Implications of Probability Weighting for Security Prices (2008)Does Academic Research Destroy Stock Return Predictability? (2015)Media Coverage and the Cross‐section of Stock Returns (2009)Who Gambles in the Stock Market? (2009)In Search of Attention (2011)Hedging Climate Change News (2019)Dissecting green returns (2022)
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References

  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 2006The Cross‐Section of Volatility and Expected Returns4,576 cited
  • 2007All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors4,550 cited
  • 1977RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION3,714 cited
  • n.d.Editor's Choice Digesting Anomalies: An Investment Approach2,508 cited
  • 2013Betting against beta2,027 cited
  • 2013The other side of value: The gross profitability premium1,977 cited
  • 2010Maxing out: Stocks as lotteries and the cross-section of expected returns1,631 cited
  • 2003Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options1,354 cited
  • 2005All that Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors1,140 cited
  • 1998Option Volume and Stock Prices: Evidence on Where Informed Traders Trade1,089 cited
  • 2005Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk1,008 cited
  • 2003Delta-Hedged Gains and the Negative Market Volatility Risk Premium934 cited
  • 2016Mispricing Factors920 cited
  • 2005Demand-Based Option Pricing

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889 cited
  • 2006The Information in Option Volume for Future Stock Prices847 cited
  • Cited by

    • 2026Too Good to Be True: Look-Ahead Bias in Empirical Options Research25 cited
    • 2017Daily Winners and Losers25 cited