Driessen, Joost; Lin, Tse-Chun; Hemert, Otto Van - In: Review of Finance 17 (2013) 1, pp. 369-401
We provide a new perspective on option and stock price behavior around 52-week highs and lows. We analyze whether option-implied volatilities (IVs) change when stock prices approach or break through their 52-week high or low. We also study the effects of highs and lows on a stock's beta and...