Option Characteristics and Stock Returns
The research analyzes options-implied information for predicting stock returns, finding that only a few option characteristics significantly predict returns after controlling for firm characteristics, and these are linked to asset mispricing, future tail return realizations, and short-selling costs.
Featured in No. 38 on 21 Feb 2024 ·
- Released
- 8 Mar 2021
- First featured
- No. 38 · 21 Feb 2024
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 1,810
- Identifier
- SSRN 4734014
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).