Leveraging a Call-Put Ratio as a Trading Signal

We examine whether a put-call ratio, derived from a unique set of market data, can be used to predict directional moves in asset prices during various market conditions between March 2005 and December 2012. Our findings show: 1) specific market participant's options trading volume is a predecessor to asset price movements, and 2) portfolios based on the put-call ratio adjusted for four factors Carhart model and transaction costs exhibit abnormal excess returns

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Year of publication:	2019
Authors:	Houlihan, Patrick
Other Persons:	Creamer Guillén, Germán (contributor)
Publisher:	[2019]: [S.l.] : SSRN
Subject:	Theorie \| Theory \| Signalling \| Kapitalstruktur \| Capital structure \| Börsenkurs \| Share price \| Finanzanalyse \| Financial analysis

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Extent:	1 Online-Ressource (36 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: The Version of Record of this manuscript has been published and is available in Quantitative Finance (2019), 19 (5): 763-777 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments 2018 erstellt
Other identifiers:	10.2139/ssrn.2363475 [DOI]
Classification:	C15 - Statistical Simulation Methods; Monte Carlo Methods ; C49 - Econometric and Statistical Methods: Special Topics. Other ; C63 - Computational Techniques
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012905111