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Differences in options investors' expectations and the cross-section of stock returns

Andreou, Panayiotis C.; Kagkadis, Anastasios; Philip, Dennis - In: Journal of banking & finance 94 (2018), pp. 315-336

Persistent link: https://www.econbiz.de/10011966661

Macro variables and the components of stock returns

Maio, Paulo; Philip, Dennis - In: Journal of empirical finance 33 (2015), pp. 287-308

Persistent link: https://www.econbiz.de/10011556888

The information content of forward moments

Andreou, Panayiotis C.; Kagkadis, Anastasios; Philip, Dennis - In: Journal of banking & finance 106 (2019), pp. 527-541

Persistent link: https://www.econbiz.de/10012224347

Economic activity and momentum profits : further evidence

Maio, Paulo; Philip, Dennis - In: Journal of banking & finance 88 (2018), pp. 466-482

Persistent link: https://www.econbiz.de/10011962964

Differences in Options Investors' Expectations and the Cross-Section of Stock Returns

Andreou, Panayiotis C. - 2018

We provide strong evidence that the dispersion of individual stock options trading volume across moneynesses (IDISP) contains valuable information about future stock returns. Stocks with high IDISP consistently underperform those with low IDISP by more than 1% per month. In line with the idea...

Persistent link: https://www.econbiz.de/10012937333