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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| Main Authors: | , , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2016
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| Subjects: | |
| 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 |