Option Return Predictability

Option Return Predictability

We show the cross-section of equity option returns can be predicted by a variety of underlying stock characteristics and firm fundamentals, including idiosyncratic volatility, past stock returns, profitability, cash holding, new share issuance, and dispersion of analyst forecasts. Such predictabilit...

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Bibliographic Details
Main Authors: CAO, Jie, BING, Han, TONG, Qing, ZHAN, Xintong
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2016
Subjects:
Equity option returns
delta-neutral call writing
stock return predictors
Corporate Finance
Finance and Financial Management
Online Access:https://ink.library.smu.edu.sg/lkcsb_research/4907
https://ink.library.smu.edu.sg/context/lkcsb_research/article/5906/viewcontent/P_ID_51406_OptionReturnPredictability_2016_wp.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/lkcsb_research/4907
https://ink.library.smu.edu.sg/context/lkcsb_research/article/5906/viewcontent/P_ID_51406_OptionReturnPredictability_2016_wp.pdf

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