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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