Disagreement in the Equity Options Market and Stock Returns

2019 ◽  
Author(s):  
Benjamin Golez ◽  
Ruslan Goyenko
Keyword(s):  
Stock Returns ◽  
Options Market ◽  
Equity Options

A smiling bear in the equity options market and the cross‐section of stock returns

2019 ◽  
Vol 39 (11) ◽  
pp. 1360-1382 ◽  
Author(s):  
Haehean Park ◽  
Baeho Kim ◽  
Hyeongsop Shim
Keyword(s):  
Stock Returns ◽  
Cross Section ◽  
Options Market ◽  
Equity Options ◽  
The Cross

The implied volatility smirk in the Chinese equity options market

2021 ◽  
pp. 101624
Author(s):  
Tian Yue ◽  
Sebastian Gehricke ◽  
Jin E. Zhang ◽  
Zheyao Pan
Keyword(s):  
Implied Volatility ◽  
Options Market ◽  
Equity Options

scholarly journals Illiquidity Premia in the Equity Options Market

2012 ◽  
Author(s):  
Peter Christoffersen ◽  
Ruslan Goyenko ◽  
Kris Jacobs ◽  
Mehdi Karoui
Keyword(s):  
Options Market ◽  
Equity Options

scholarly journals Illiquidity Premia in the Equity Options Market

2017 ◽  
Vol 31 (3) ◽  
pp. 811-851 ◽  
Author(s):  
Peter Christoffersen ◽  
Ruslan Goyenko ◽  
Kris Jacobs ◽  
Mehdi Karoui
Keyword(s):  
Options Market ◽  
Equity Options

Stock Returns Information from the Stock Options Market

2019 ◽  
pp. 169-178
Author(s):  
Swastik Tiwari ◽  
Hardik Agarwal
Keyword(s):  
Stock Returns ◽  
Stock Options ◽  
Options Market

Firm opacity and informed trading around spinoffs

2018 ◽  
Vol 19 (3) ◽  
pp. 262-276 ◽  
Author(s):  
Yuan Wen
Keyword(s):  
Stock Returns ◽  
Design Methodology ◽  
Informed Trading ◽  
Options Market ◽  
Organizational Complexity ◽  
Content Type ◽  
Abnormal Stock Returns ◽  
Options Trading ◽  
The Relationship ◽  
Corporate Spinoffs

Purpose This paper aims to examine the prevalence of informed trading around corporate spinoffs and the relation between firm opacity and informed trading using option market data. Design/methodology/approach The author investigates the prevalence of informed trading by examining the relationship between abnormal stock returns associated with spinoffs and the volatility spread/volatility skewness of options prior to the spinoffs. Furthermore, the author examines how opacity and organizational complexity prior to the spinoffs affect informed trading. Findings The study shows that option volatility spread and volatility skewness for the five days prior to the spinoffs can predict the abnormal stock returns on the spinoff announcement days, suggesting that there is informed trading in the options market prior to spinoffs. The study shows that informed trading is more prevalent for firms that are more opaque prior to the spinoff. Furthermore, informed trading decreases after spinoffs. Originality/value To the best of knowledge, this is the first empirical research that examines the prevalence of informed trading around spinoffs by using options volatility spread/skewness and the relation between firm opacity and informed options trading.

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