Why do option prices predict stock returns? : the role of price pressure in the stock market
Luis Goncalves-Pinto, Bruce D. Grundy, Allaudeen Hameed, Thijs van der Heijden, Yichao Zhu
| Year of publication: |
2020
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|---|---|
| Authors: | Goncalves-Pinto, Luis ; Grundy, Bruce D. ; Hameed, Allaudeen ; Heijden, Thijs van der ; Zhu, Yichao |
| Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Catonsville, MD : INFORMS, ISSN 0025-1909, ZDB-ID 206345-1. - Vol. 66.2020, 9, p. 3903-3926
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| Subject: | price pressure | put-call parity | return predictability | informed trading | Börsenkurs | Share price | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Schätzung | Estimation | Optionsgeschäft | Option trading | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/mnsc.2019.3398 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012297731