Stivers, Chris; Sun, Licheng - In: Journal of Banking & Finance 37 (2013) 11, pp. 4226-4240
For S&P 100 stocks, we find that the weekly returns over option-expiration (OE) weeks (a month’s third-Friday week) tend to be high, relative to: (1) the third-Friday weekly returns of other stocks with less option activity, (2) the own stock’s other weekly returns, (3) the risk, based on...