Stock Returns on Option Expiration Dates

• Main Author: CHIANG, Chin-Han
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2010
• Subjects: Finance and Financial Management; Portfolio and Security Analysis
• 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
• Institution: Singapore Management University

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...