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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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2018
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| 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 |