Stock Returns on Option Expiration Dates

• 主要作者: CHIANG, Chin-Han
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2010
• 主題: Finance and Financial Management; Portfolio and Security Analysis
• 在線閱讀: 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

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...