This study examines whether Chief Executive Officers (CEOs) exercise a greater proportion of their exercisable options in response to firm-specific stock price bubbles. For a sample of U.S. firms from 1992 to 2021, the study identifies stock price bubble periods using the Generalized Sup...

We utilize Bayesian model averaging to estimate a stochastic discount factor (SDF) for single-stock options. A Bayesian model averaging SDF outperforms reduced-form benchmark models in-sample and out-of-sample in pricing option return anomalies and portfolios. We document that the SDF is dense...

This study examines whether changes in the implied volatility of stock options have cross-sectional predictability for future changes in credit default swap (CDS) spreads in the Korean market. The major findings are as follows. First, in the CDS portfolio analysis, when buying a portfolio with...

Using a regulation that increased portfolio disclosure frequency of US mutual funds as an exogenous shock shortening funds' investment horizon, we examine whether and how affected funds influence portfolio firms to achieve horizon realignment after the shock. We find that portfolio firms reduce...