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Option Trading Activity, News Releases, and Stock Return Predictability
16 references·0 citing·41 second hopsampled
Option Trading Activity, News Releases, and Stock Return Predictability (2022)Option Trading Activity, News Releases, a…The Joint Cross Section of Stocks and Options (2014)The Joint Cross Section of St…The option to stock volume ratio and future returns (2012)The option to stock volume ra…How are shorts informed? (2012)How are shorts informed?What Does the Individual Option Volatility Smirk Tell Us About Future Equity Returns? (2010)What Does the Individual Opti…Deviations from Put-Call Parity and Stock Return Predictability (2010)Deviations from Put-Call Pari…Volatility Spreads and Expected Stock Returns (2009)Volatility Spreads and Expect…The Information in Option Volume for Future Stock Prices (2006)The Information in Option Vol…Informational content of option volume prior to takeovers (2005)Informational content of opti…The High‐Volume Return Premium (2001)The High‐Volume Return PremiumTrading Volume and Cross‐Autocorrelations in Stock Returns (2000)Trading Volume and Cross‐Auto…Option Volume and Stock Prices: Evidence on Where Informed Traders Trade (1998)Option Volume and Stock Price…Asymmetric Information and Options (1993)Asymmetric Information and Op…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…When Are Contrarian Profits Due to Stock Market Overreaction? (1990)When Are Contrarian Profits D…Anticipated information releases reflected in call option prices (1979)Anticipated information relea…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Risk, Return, and Equilibrium: Empirical Tests (1973)Continuous Auctions and Insider Trading (1985)Illiquidity and stock returns: cross-section and time-series effects (2002)Textual sentiment in finance: A survey of methods and models (2014)Short interest and aggregate stock returns (2016)Intraday online investor sentiment and return patterns in the U.S. stock market (2017)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)Empirical Performance of Alternative Option Pricing Models (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cross‐Section of Volatility and Expected Returns (2006)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Theory of rational option pricing (2005)The Cross-Section of Expected Stock Returns (1992)Do industries lead stock markets? (2006)Tail Risk and Asset Prices (2014)Does the Stock Market Overreact? (1985)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)A liquidity-augmented capital asset pricing model (2006)Do Retail Trades Move Markets? (2008)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Jump risk, stock returns, and slope of implied volatility smile (2010)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Inferring Trade Direction from Intraday Data (1991)Demand-Based Option Pricing (2005)The Behavior of Stock-Market Prices (1965)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Do Industries Explain Momentum? (1999)Improved estimation of the covariance matrix of stock returns with an application to portfolio selection (2003)Maxing out: Stocks as lotteries and the cross-section of expected returns (2010)Risk measurement when shares are subject to infrequent trading (1979)The Relation Between Price Changes and Trading Volume: A Survey (1987)Short Selling and the Price Discovery Process (2012)International Stock Return Predictability: What Is the Role of the United States? (2013)Stronger Risk Controls, Lower Risk: Evidence from U.S. Bank Holding Companies (2013)Does realized skewness predict the cross-section of equity returns? (2015)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1990When Are Contrarian Profits Due to Stock Market Overreaction?1,707 cited
  • 1998Option Volume and Stock Prices: Evidence on Where Informed Traders Trade1,089 cited
  • 2001The High‐Volume Return Premium860 cited
  • 2006The Information in Option Volume for Future Stock Prices847 cited
  • 2000Trading Volume and Cross‐Autocorrelations in Stock Returns721 cited
  • 2010What Does the Individual Option Volatility Smirk Tell Us About Future Equity Returns?712 cited
  • 2012How are shorts informed?667 cited
  • 2010Deviations from Put-Call Parity and Stock Return Predictability624 cited
  • 2009Volatility Spreads and Expected Stock Returns407 cited
  • 2005Informational content of option volume prior to takeovers405 cited
  • 1993Asymmetric Information and Options360 cited
  • 2012The option to stock volume ratio and future returns356 cited
  • 1979Anticipated information releases reflected in call option prices325 cited

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2014
The Joint Cross Section of Stocks and Options
286 cited

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