Stock return autocorrelations and expected option returns
Yoontae Jeon, Raymond Kan, Gang Li
| Year of publication: |
2025
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|---|---|
| Authors: | Jeon, Yoontae ; Kan, Raymond ; Li, Gang |
| Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Hanover, Md. : INFORMS, ISSN 1526-5501, ZDB-ID 2023019-9. - Vol. 71.2025, 6, p. 4895-4914
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| Subject: | cross-section of option returns | expected option returns | option portfolios | stock return autocorrelation | Kapitaleinkommen | Capital income | Optionspreistheorie | Option pricing theory | Autokorrelation | Autocorrelation | Optionsgeschäft | Option trading | Portfolio-Management | Portfolio selection | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/mnsc.2023.03071 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015446681