This paper examines an investment strategy based on free cash flows. The strategy selects securities into a quot;longquot; portfolio that outperforms the market index, returns of similar size securities, and returns of similar risk (beta and book-to-market) securities. The portfolio includes...

This study examines the effect of option volume relative to stock volume (O/S) on market response to earnings surprises. The market reaction per unit of earnings surprise is lower for firms that have high O/S prior to earnings announcement than for firms with low O/S prior to earnings...