Stock Returns on Option Expiration Dates
This paper documents striking evidence that stocks with a sufficiently large amount of deeply in-the-money call options earn signficantly lower returns on option expiration dates, with a drop in average daily returns of up to 0.8 percentage point. This price movement of stocks is followed by a rever...
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2010
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| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research_smu/61 https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1060&context=lkcsb_research_smu |
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| Institution: | Singapore Management University |
| Language: | English |