DC Field | Value | Language |
---|---|---|
dc.contributor.author | Han, JoongHo | ko |
dc.contributor.author | Kim, Da-Hea | ko |
dc.contributor.author | 변석준 | ko |
dc.date.accessioned | 2017-11-08T02:20:57Z | - |
dc.date.available | 2017-11-08T02:20:57Z | - |
dc.date.created | 2017-10-23 | - |
dc.date.created | 2017-10-23 | - |
dc.date.issued | 2017-11 | - |
dc.identifier.citation | JOURNAL OF FUTURES MARKETS, v.37, no.11, pp.1053 - 1093 | - |
dc.identifier.issn | 0270-7314 | - |
dc.identifier.uri | http://hdl.handle.net/10203/226696 | - |
dc.description.abstract | Previous research highlights the importance of two distinct types of informed trading in the options market: trading on the price direction of underlying stocks, and trading on their uncertainty. Surprisingly, however, the studies considering these in a unified framework are scant.This study attempts to fill the gap. We predict that when both directional andvolatility information could motivateoptions trading, the return predictability of options volume hinges onthe shape of the volatility smirk.Consistent with this prediction, we find thatthe negative relationship between options volume and future stock returns is concentrated in stocks exhibiting steep volatility smirks. | - |
dc.language | English | - |
dc.publisher | WILEY | - |
dc.subject | IMPLIED VOLATILITY | - |
dc.subject | REALIZED VOLATILITY | - |
dc.subject | INFORMATION-CONTENT | - |
dc.subject | CROSS-SECTION | - |
dc.subject | VOLUME | - |
dc.subject | PRICES | - |
dc.subject | EQUILIBRIUM | - |
dc.subject | RISK | - |
dc.title | Informed Trading in the Options Market and Stock Return Predictability | - |
dc.type | Article | - |
dc.identifier.wosid | 000412131600001 | - |
dc.identifier.scopusid | 2-s2.0-85014564016 | - |
dc.type.rims | ART | - |
dc.citation.volume | 37 | - |
dc.citation.issue | 11 | - |
dc.citation.beginningpage | 1053 | - |
dc.citation.endingpage | 1093 | - |
dc.citation.publicationname | JOURNAL OF FUTURES MARKETS | - |
dc.identifier.doi | 10.1002/fut.21837 | - |
dc.contributor.localauthor | 변석준 | - |
dc.contributor.nonIdAuthor | Han, JoongHo | - |
dc.contributor.nonIdAuthor | Kim, Da-Hea | - |
dc.description.isOpenAccess | N | - |
dc.type.journalArticle | Article | - |
dc.subject.keywordPlus | IMPLIED VOLATILITY | - |
dc.subject.keywordPlus | REALIZED VOLATILITY | - |
dc.subject.keywordPlus | INFORMATION-CONTENT | - |
dc.subject.keywordPlus | CROSS-SECTION | - |
dc.subject.keywordPlus | VOLUME | - |
dc.subject.keywordPlus | PRICES | - |
dc.subject.keywordPlus | EQUILIBRIUM | - |
dc.subject.keywordPlus | RISK | - |
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.