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Are banks happy when managers go long? The information content of managers’ vested option holdings for loan pricing

Dezső, Cristian L.; Ross, David Gaddis - In: Journal of Financial Economics 106 (2012) 2, pp. 395-410

expense of debt, a risk-averse manager may be more likely to retain vested in-the-money options if the manager has private …

Persistent link: https://www.econbiz.de/10011039229

Does option trading convey stock price information?

Hu, Jianfeng - In: Journal of Financial Economics 111 (2014) 3, pp. 625-645

After executing option orders, options market makers turn to the stock market to hedge away the underlying stock … independent of options. The analysis shows that the option-induced imbalance significantly predicts future stock returns in the … cross section controlling for the past stock and options returns, but the imbalance independent of options has only a …

Persistent link: https://www.econbiz.de/10010743556

Pinning in the S&P 500 futures

Golez, Benjamin; Jackwerth, Jens Carsten - In: Journal of Financial Economics 106 (2012) 3, pp. 566-585

options on the S&P 500 futures expire (pinning) and are pushed away from the cost-of-carry adjusted at-the-money strike price … right before the expiration of options on the S&P 500 index (anti-cross-pinning). These effects are driven by the interplay … (and early exercise) of in-the-money options by individual investors. The associated shift in notional futures value is at …

Persistent link: https://www.econbiz.de/10010587978

The option to stock volume ratio and future returns

Johnson, Travis L.; So, Eric C. - In: Journal of Financial Economics 106 (2012) 2, pp. 262-286

We examine the information content of option and equity volumes when trade direction is unobserved. In a multimarket asymmetric information model, equity short-sale costs result in a negative relation between relative option volume and future firm value. In our empirical tests, firms in the...

Persistent link: https://www.econbiz.de/10010593832

A unique view of hedge fund derivatives usage: Safeguard or speculation?

Aragon, George O.; Spencer Martin, J. - In: Journal of Financial Economics 105 (2012) 2, pp. 436-456

earns abnormal returns of 1.55% through the end of the quarter. Net of fees, hedge funds using options deliver higher …

Persistent link: https://www.econbiz.de/10010617612

Expected Returns and Expected Dividend Growth

Lettau, Martin; Ludvigson, Sydney C. - 2004

We investigate a consumption-based present value relation that is a function of future dividend growth. Using data on aggregate consumption and measures of the dividend payments from aggregate wealth, we show that changing forecasts of dividend growth are an important feature of the post-war...

Persistent link: https://www.econbiz.de/10005846982

A five-factor asset pricing model

Fama, Eugene F.; French, Kenneth R. - In: Journal of Financial Economics 116 (2015) 1, pp. 1-22

A five-factor model directed at capturing the size, value, profitability, and investment patterns in average stock returns performs better than the three-factor model of Fama and French (FF, 1993). The five-factor model׳s main problem is its failure to capture the low average returns on small...

Persistent link: https://www.econbiz.de/10011263123

Momentum has its moments

Barroso, Pedro; Santa-Clara, Pedro - In: Journal of Financial Economics 116 (2015) 1, pp. 111-120

Compared with the market, value, or size factors, momentum has offered investors the highest Sharpe ratio. However, momentum has also had the worst crashes, making the strategy unappealing to investors who dislike negative skewness and kurtosis. We find that the risk of momentum is highly...

Persistent link: https://www.econbiz.de/10011263126

End-of-the-year economic growth and time-varying expected returns

Møller, Stig V.; Rangvid, Jesper - In: Journal of Financial Economics 115 (2015) 1, pp. 136-154

We show that macroeconomic growth at the end of the year (fourth quarter or December) strongly influences expected returns on risky financial assets, whereas economic growth during the rest of the year does not. We find this pattern for many different asset classes, across different time...

Persistent link: https://www.econbiz.de/10011115770

Why do term structures in different currencies co-move?

Jotikasthira, Chotibhak; Le, Anh; Lundblad, Christian - In: Journal of Financial Economics 115 (2015) 1, pp. 58-83

Yield curve fluctuations across different currencies are highly correlated. This paper investigates this phenomenon by exploring the channels through which macroeconomic shocks are transmitted across borders. Macroeconomic shocks affect current and expected future short-term rates as central...

Persistent link: https://www.econbiz.de/10011115772