Dividend Capture Returns: Anomaly or Risk Premium? Evidence from the Equity Options Markets

2019 ◽  
Author(s):  
Brian Healy ◽  
Conall O'Sullivan
Keyword(s):  
Risk Premium ◽  
Options Markets ◽  
Equity Options

The interactions between trading volume and volatility: evidence from the equity options markets

1999 ◽  
Vol 9 (6) ◽  
pp. 627-637 ◽  
Author(s):  
Tae H. Park ◽  
Lorne N. Switzer ◽  
Robert Bedrossian
Keyword(s):  
Trading Volume ◽  
Options Markets ◽  
Equity Options

Is There a Risk Premium in the Stock Lending Market? Evidence from Equity Options

2016 ◽  
Author(s):  
Dmitriy Muravyev ◽  
Neil D. Pearson ◽  
Joshua Matthew Pollet
Keyword(s):  
Risk Premium ◽  
Equity Options

scholarly journals Do Equity Markets Favor Credit Market News Over Options Market News?

2014 ◽  
Vol 04 (02) ◽  
pp. 1450006 ◽  
Author(s):  
Antje Berndt ◽  
Anastasiya Ostrovnaya
Keyword(s):  
Market News ◽  
Credit Default Swap ◽  
Equity Market ◽  
Credit Spreads ◽  
Option Prices ◽  
Options Market ◽  
Options Markets ◽  
Equity Options ◽  
Abnormal Movements ◽  
Credit Default

Credit default swap (CDS) and equity options markets often experience abnormal swings prior to the announcement of negative credit news. Option prices reveal information about such forthcoming adverse events at least as early as credit spreads, except for negative earnings announcements. Prior to negative credit news being announced, the equity market does not respond to abnormal movements in option prices unless that information has also manifested itself in credit spreads, perhaps because options are perceived as more likely to trade on unsubstantiated rumors than default swaps.

Is There a Risk Premium in the Stock Lending Market? Evidence from Equity Options

2016 ◽  
Author(s):  
Dmitriy Muravyev ◽  
Neil D. Pearson ◽  
Joshua Matthew Pollet
Keyword(s):  
Risk Premium ◽  
Equity Options

Jumps and the Correlation Risk Premium: Evidence from Equity Options

2019 ◽  
Author(s):  
Nicole Branger ◽  
René Marian Flacke ◽  
Frederik T. Middelhoff
Keyword(s):  
Risk Premium ◽  
Equity Options ◽  
Correlation Risk
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