Gambling preference and individual equity option returns

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dc.contributor.authorByun, Suk Joonko
dc.contributor.authorKim, Da-Heako
dc.date.accessioned2016-11-09T06:58:47Z-
dc.date.available2016-11-09T06:58:47Z-
dc.date.created2016-10-31-
dc.date.created2016-10-31-
dc.date.issued2016-10-
dc.identifier.citationJOURNAL OF FINANCIAL ECONOMICS, v.122, no.1, pp.155 - 174-
dc.identifier.issn0304-405X-
dc.identifier.urihttp://hdl.handle.net/10203/213931-
dc.description.abstractWe investigate the relation between the option returns and the underlying stock's lottery like characteristics. Call options written on the most lottery-like stocks underperform otherwise similar call options written on the least lottery-like stocks by 10-20% per month. Moreover, the more lottery-like the underlying stocks, the further and more frequently the options deviate from the put-call parity in the direction induced by overvalued calls. Furthermore, the lottery-like characteristic effect is stronger during periods of high investor sentiment. The results suggest that optimism-induced gambling preference causes lottery like options to be overvalued. (C) 2016 Elsevier B.V. All rights reserved-
dc.languageEnglish-
dc.publisherELSEVIER SCIENCE SA-
dc.subjectEXPECTED STOCK RETURNS-
dc.subjectINVESTOR SENTIMENT-
dc.subjectCROSS-SECTION-
dc.subjectSKEWNESS PREFERENCE-
dc.subjectSHORT SALES-
dc.subjectMARKET-
dc.subjectRISK-
dc.subjectLOTTERIES-
dc.subjectVOLATILITY-
dc.subjectARBITRAGE-
dc.titleGambling preference and individual equity option returns-
dc.typeArticle-
dc.identifier.wosid000384628300008-
dc.identifier.scopusid2-s2.0-84989814417-
dc.type.rimsART-
dc.citation.volume122-
dc.citation.issue1-
dc.citation.beginningpage155-
dc.citation.endingpage174-
dc.citation.publicationnameJOURNAL OF FINANCIAL ECONOMICS-
dc.identifier.doi10.1016/j.jfineco.2016.06.004-
dc.contributor.localauthorByun, Suk Joon-
dc.contributor.nonIdAuthorKim, Da-Hea-
dc.type.journalArticleArticle-
dc.subject.keywordAuthorStock options-
dc.subject.keywordAuthorLottery-
dc.subject.keywordAuthorSkewness preference-
dc.subject.keywordAuthorPut-call parity-
dc.subject.keywordAuthorInvestor sentiment-
dc.subject.keywordPlusEXPECTED STOCK RETURNS-
dc.subject.keywordPlusINVESTOR SENTIMENT-
dc.subject.keywordPlusCROSS-SECTION-
dc.subject.keywordPlusSKEWNESS PREFERENCE-
dc.subject.keywordPlusSHORT SALES-
dc.subject.keywordPlusMARKET-
dc.subject.keywordPlusRISK-
dc.subject.keywordPlusLOTTERIES-
dc.subject.keywordPlusVOLATILITY-
dc.subject.keywordPlusARBITRAGE-
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