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dc.contributor.authorAndreou, Panayiotis
dc.contributor.authorKagkadis, Anastasios
dc.contributor.authorPhilip, Dennis
dc.contributor.authorTuneshev, Ruslan
dc.date.accessioned2020-02-02T00:34:46Z
dc.date.available2020-02-02T00:34:46Z
dc.date.issued2018-09
dc.identifier.citationAndreou , 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.2018.07.016en
dc.identifier.issn0378-4266
dc.identifier.otherPURE: 252068570
dc.identifier.otherPURE UUID: de61f72c-ddee-4f69-bebf-7bc356bb18d1
dc.identifier.otherScopus: 85052522570
dc.identifier.otherWOS: 000446285600020
dc.identifier.otherORCID: /0000-0003-0936-6562/work/64698144
dc.identifier.urihttp://hdl.handle.net/10023/19396
dc.description.abstractWe 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.
dc.language.isoeng
dc.relation.ispartofJournal of Banking & Financeen
dc.rights© 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.2018.07.016en
dc.subjectDispersion of beliefsen
dc.subjectDisagreement in options marketen
dc.subjectCross-section of stock returnsen
dc.subjectEquity optionsen
dc.subjectOption trading volumeen
dc.subjectHG Financeen
dc.subject3rd-DASen
dc.subjectBDCen
dc.subjectR2Cen
dc.subject.lccHGen
dc.titleDifferences in options investors’ expectations and the cross-section of stock returnsen
dc.typeJournal articleen
dc.description.versionPostprinten
dc.contributor.institutionUniversity of St Andrews.School of Economics and Financeen
dc.identifier.doihttps://doi.org/10.1016/j.jbankfin.2018.07.016
dc.description.statusPeer revieweden
dc.date.embargoedUntil2020-02-02


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