Informed Trading in the Options Market and Stock Return Predictability

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dc.contributor.authorHan, JoongHoko
dc.contributor.authorKim, Da-Heako
dc.contributor.author변석준ko
dc.date.accessioned2017-11-08T02:20:57Z-
dc.date.available2017-11-08T02:20:57Z-
dc.date.created2017-10-23-
dc.date.created2017-10-23-
dc.date.issued2017-11-
dc.identifier.citationJOURNAL OF FUTURES MARKETS, v.37, no.11, pp.1053 - 1093-
dc.identifier.issn0270-7314-
dc.identifier.urihttp://hdl.handle.net/10203/226696-
dc.description.abstractPrevious 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.languageEnglish-
dc.publisherWILEY-
dc.subjectIMPLIED VOLATILITY-
dc.subjectREALIZED VOLATILITY-
dc.subjectINFORMATION-CONTENT-
dc.subjectCROSS-SECTION-
dc.subjectVOLUME-
dc.subjectPRICES-
dc.subjectEQUILIBRIUM-
dc.subjectRISK-
dc.titleInformed Trading in the Options Market and Stock Return Predictability-
dc.typeArticle-
dc.identifier.wosid000412131600001-
dc.identifier.scopusid2-s2.0-85014564016-
dc.type.rimsART-
dc.citation.volume37-
dc.citation.issue11-
dc.citation.beginningpage1053-
dc.citation.endingpage1093-
dc.citation.publicationnameJOURNAL OF FUTURES MARKETS-
dc.identifier.doi10.1002/fut.21837-
dc.contributor.localauthor변석준-
dc.contributor.nonIdAuthorHan, JoongHo-
dc.contributor.nonIdAuthorKim, Da-Hea-
dc.description.isOpenAccessN-
dc.type.journalArticleArticle-
dc.subject.keywordPlusIMPLIED VOLATILITY-
dc.subject.keywordPlusREALIZED VOLATILITY-
dc.subject.keywordPlusINFORMATION-CONTENT-
dc.subject.keywordPlusCROSS-SECTION-
dc.subject.keywordPlusVOLUME-
dc.subject.keywordPlusPRICES-
dc.subject.keywordPlusEQUILIBRIUM-
dc.subject.keywordPlusRISK-
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