Essay on asset pricing

We uncover a novel stock return predictor from the options market, the volume-weighted strike-spot price ratio (VWKS) across all traded option contracts. High (low) VWKS indicates that the mass of options volume on an underlying stock centers at the out-of-the-money region of call (put) options. Emp...

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Bibliographic Details
Main Author: GAO, Fei
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2018
Subjects:
ETF
Online Access:https://ink.library.smu.edu.sg/etd_coll/168
https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1168&context=etd_coll
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Institution: Singapore Management University
Language: English