I conduct and empirical analysis of the pattern of time value decay in listed equity options, considering both call and put options and various degrees of moneyness for both classes of options. I find that empirical patterns differ from model or theory based predictions in important ways. While...

We review an explanation for the causes of the stock market crash in 1987, update the empirical support for that argument, and compare to recent market developments. While the market crash on October 19, 1987 was the largest one-day Samp;P 500 drop in percentage terms in history (20.47%) there...

Coval and Shumway (2001) show that under certain simple assumptions the expected returns to call options should be higher than the expected returns to their underlying assets, and increasing in the strike price. The authors find empirical support for these predictions by studying index option...

On the 16th of April 2010 the Securities and Exchange Commission announced that they were bringing charges against Goldman, Sachs & Co. for alleged fraudulent dealings. In this paper I study the actions which financial market participants took in response to this dramatic, negative announcement....

Purpose The purpose of this paper is to conduct an empirical analysis of the pattern of time value decay in listed equity options, considering both call and put options and different moneyness and maturity levels. Design/methodology/approach The research design is empirical, with great attention...

In this paper I examine the relation between profits from book-to-market strategies and momentum strategies. Specifically, I test two time-series hypotheses which are not mutually exclusive, but do have opposite predictions for subsequent momentum profits. First, if periods of large...

This paper examines whether a realistically constrained fund manager can outperform the benchmark index using trading strategies based on asset pricing anomalies. I consider a fund manager who faces the following realistic constraints on his investment activity: abnormal performance and tracking...