|
Bakshi, G., C. Cao, and Z. Chen (2000), “Do Call Prices and the Underlying Stock Always Move in the Same Direction?”, The Review of Financial Studies, Vol. 13, Issue 3, July 2000, Pages 549–584. Bakshi, G., and N. Kapadia (2003b), “Volatility Risk Premiums Embedded in Individual Equity Options: Some New Insights.” Journal of Derivatives, Vol. 11, 45–54. Bakshi, G., N. Kapadia; and D. Madan (2003), “Stock Returns Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options.” Review of Financial Studies, Vol. 16, 101–143. Bali, T., and A. Hovakimian (2009), “Volatility Spreads and Expected Stock Returns.” Management Science, Vol. 55, No. 11 (November): 1797-1812. Baltussen, G., B. van der Grient, W. de Groot, E. Hennink, W. Zhou (2012), “Exploiting Option Information in the Equity Market.” Financial Analysts Journal, Vol. 68, No. 4 (December): 65-76. Black, F. (1975),“Fact and Fantasy in the Use of Options.” Financial Analysts Journal, Vol. 31, No. 4 (July/August): 36-41. Blau, B.M., N. Nguyen, and R.J. Whitby (2014), “The information content of option ratios.” Journal of Banking & Finance, Vol. 43, 179–187. Buraschi A., and J. Jackwerth (2001), “The Price of a Smile: Hedging and Spanning in Option Markets.” The Review of Financial Studies, Vol. 14, Issue 2, Pages 495–527. Cao, C., Z. Chen, and J.M. Griffin (2005), “Informational Content of Option Volume Prior to Takeovers.” The Journal of Business, 78(3), 1073-1109. Carhart, M.M. (1997), “On Persistence in Mutual Fund Performance.” Journal of Finance, Vol. 52, pp. 57-82. Carr, P., and L. Wu (2007), “Stochastic Skew in Currency Options.” Journal of Financial Economics, Vol. 86(1), pp. 213—247. Chakravarty, S., H. Guien, and S. Mayhew (2004), “Informed Trading in Stock and Option Markets.” Journal of Finance, Vol. 59, No. 3 (June): 1235-1258. Chan K., Y.P. Chung, and W.M. Fong (2002), “The Informational Role of Stock and Option Volume.” The Review of Financial Studies, Vol. 15, Issue 4, Pages 1049–1075. Cremers, M., and D. Weinbaum (2010), "Deviations from Put-Call Parity and Stock Retum Predictability." Journal of Financial and Quantitative Analysis, Vol. 45, no. 2 (April):335-367. Danielsen, B.R., and S.M. Sorescu, (2001), “Why Do Option Introductions Depress Stock Prices? A Study of Diminishing Short Sale Constraints. ” Journal of Financial and Quantitative Analysis, Vol. 36, 451–484. David, A., and P. Veronesi (2009), “Macroeconomic Uncertainty and Fear Measures Extracted from Index Options. ” SSRN eLibrary. Diamond, D.W., and R.E. Verrecchia (1987), “Constraints on Short Selling and Asset Price Adjustment to Private Information. ” Journal of Financial Economics, Vol. 18, 277–312. Doran, J.S., and K. Krieger (2010), “Implications for Asset Returns in the Implied Volatility Skew.” Financial Analysts Journal, Vol. 66, No. 1 (January/February): 65-76. Easley, D., M. O’Hara, and P.S. Srinivas (1998), “Option Volume and Stock Prices: Evidence on Where Informed Traders Trade.” Journal of Finance, Vol. 53, No. 2 (April): 431-465. Fama, E.F., and K.R. French (1993), “Common Risk Factors in the Returns on Stocks and Bonds.” Journal of Financial Economics, Vol. 33, No. 1 (February): 3-56. Fama, E.F., and J.D. MacBeth (1973), “Risk, Return, and Equilibrium: Empirical Tests.” Journal of Political Economy, Vol. 81, No. 3 (May/June): 223-237. Fu, X., Y.E. Arisoy, M.B. Shackleton, and M. Umutlu (2016), “Option-Implied Volatility Measures and Stock Return Predictability.” The Journal of Derivatives, Vol. 24 (1) 58-78. Hull, J., I. Nelken, and A.D. White (2004), “Merton’s Model, Credit Risk and Volatility Skews.” Journal of Credit Risk, Vol. 1, No. 1 (Winter): 9-25. Mixon, S. (2011), “What Does Implied Volatility Skew Measure? ” The Journal of Derivatives, Vol. 18 (4) 9-25. Ofek, E., M. Richardson, and R. Whitelaw (2004), “Limited Arbitrage and Short Sales Restrictions: Evidence from the Options Markets.” Journal of Financial Economics, Vol. 74, No. 2 (November): 305-342. Pan, J., and A. Poteshman (2006), “The Information in Option Volume for Future Stock Prices.” Review of Financial Studies, Vol. 19, No. 3 (Fall): 871-908. Park, H., B. Kim, and H. Shim (2019), “A Smiling Bear in the Equity Options Market and the Cross‐Section of Stock Returns.”, Journal of Futures Markets Volume, Vol. 39, Issue 11, Pages 1360–1382. Yan, S. (2011), “Jump Risk, Stock Returns, and Slope of Implied Volatility Smile. ” Journal of Financial Economics, Vol. 99, Issue 1, Pages 216-233. Xing, Y., X. Zhang, and R. Zhao (2010), “What Does Individual Option Volatility Smirk Tell Us about Future Equity Returns?” Journal of Financial and Quantitative Analysis, Vol. 45, No. 3 (June): 641-662.
|