Differences in options investors’ expectations and the cross-section of stock returns
MetadataShow full item record
Altmetrics Handle Statistics
Altmetrics DOI Statistics
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 that IDISP reflects dispersion in investors’ beliefs, we find that the negative IDISP-return relationship is particularly pronounced around earnings announcements, in high sentiment periods and among stocks that exhibit relatively high short-selling impediments. Moreover, the IDISP effect is highly persistent and robustly distinct from the effects of a large array of previously documented cross-sectional return predictors.
Andreou , P , Kagkadis , A , Philip , D & Tuneshev , R 2018 , ' Differences in options investors’ expectations and the cross-section of stock returns ' , Journal of Banking & Finance , vol. 94 , pp. 315-336 . https://doi.org/10.1016/j.jbankfin.2018.07.016
Journal of Banking & Finance
© 2018 Elsevier B.V. This work has been made available online in accordance with the publisher’s policies. This is the author created, accepted version manuscript following peer review and may differ slightly from the final published version. The final published version of this work is available at: https://doi.org/10.1016/j.jbankfin.2018.07.016
Items in the St Andrews Research Repository are protected by copyright, with all rights reserved, unless otherwise indicated.