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Conference Paper: Why Do Options Prices Predict Stock Returns?
Title | Why Do Options Prices Predict Stock Returns? |
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Authors | |
Issue Date | 2013 |
Publisher | Western Finance Association (WFA). |
Citation | The 48th Annual Conference of the Western Finance Association (WFA), Nevada, USA, 17-20 June 2013 How to Cite? |
Abstract | We study the role of analysts and options traders in the information transmission between options and stock markets. We first show that the predictive power of option-implied volatilities (IVs) on stock returns is more than doubled around analyst-related events, indicating a significant proportion of the options predictability on stock returns comes from informed options traders’ information about upcoming analyst-related news. We examine three explanations for this finding: tipping, reverse tipping and common information. We find that analyst tipping to options traders is the most consistent explanation of these predictive patterns. |
Persistent Identifier | http://hdl.handle.net/10722/199692 |
DC Field | Value | Language |
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dc.contributor.author | Lin, TC | en_US |
dc.contributor.author | Lu, X | en_US |
dc.contributor.author | Driessen, JJAG | en_US |
dc.date.accessioned | 2014-07-22T01:28:25Z | - |
dc.date.available | 2014-07-22T01:28:25Z | - |
dc.date.issued | 2013 | en_US |
dc.identifier.citation | The 48th Annual Conference of the Western Finance Association (WFA), Nevada, USA, 17-20 June 2013 | en_US |
dc.identifier.uri | http://hdl.handle.net/10722/199692 | - |
dc.description.abstract | We study the role of analysts and options traders in the information transmission between options and stock markets. We first show that the predictive power of option-implied volatilities (IVs) on stock returns is more than doubled around analyst-related events, indicating a significant proportion of the options predictability on stock returns comes from informed options traders’ information about upcoming analyst-related news. We examine three explanations for this finding: tipping, reverse tipping and common information. We find that analyst tipping to options traders is the most consistent explanation of these predictive patterns. | en_US |
dc.language | eng | en_US |
dc.publisher | Western Finance Association (WFA). | - |
dc.relation.ispartof | Annual Conference of the Western Finance Association | en_US |
dc.title | Why Do Options Prices Predict Stock Returns? | en_US |
dc.type | Conference_Paper | en_US |
dc.identifier.email | Lin, TC: chunlin@hku.hk | en_US |
dc.identifier.authority | Lin, TC=rp01077 | en_US |
dc.identifier.hkuros | 231201 | en_US |
dc.publisher.place | United States | - |