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Article: How the 52-week High and Low Affect Option-implied Volatilities and Stock Return Moments
Title | How the 52-week High and Low Affect Option-implied Volatilities and Stock Return Moments |
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Authors | |
Issue Date | 2013 |
Publisher | Oxford University Press. The Journal's web site is located at http://rof.oxfordjournals.org/ |
Citation | Review of Finance, 2013, v. 17 n. 1, p. 369-401 How to Cite? |
Abstract | We provide a new perspective on option and stock price behavior around 52-week highs and lows. We analyze whether option-implied volatilities change when stock prices approach or break through their 52-week high or low. We also study the effects of highs and lows on a stock's beta and return volatility. We find that implied volatilities and stock betas decrease when approaching a high or low, and that volatilities increase after breakthroughs. The effects are economically large and significant. The approach results can be explained by the anchoring theory. The breakthrough results are consistent with anchoring and the investor attention hypothesis. |
Persistent Identifier | http://hdl.handle.net/10722/227463 |
ISSN | 2023 Impact Factor: 5.6 2023 SCImago Journal Rankings: 7.769 |
SSRN | |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Driessen, J | - |
dc.contributor.author | Lin, TC | - |
dc.contributor.author | Van Hemert, O | - |
dc.date.accessioned | 2016-07-18T09:10:52Z | - |
dc.date.available | 2016-07-18T09:10:52Z | - |
dc.date.issued | 2013 | - |
dc.identifier.citation | Review of Finance, 2013, v. 17 n. 1, p. 369-401 | - |
dc.identifier.issn | 1572-3097 | - |
dc.identifier.uri | http://hdl.handle.net/10722/227463 | - |
dc.description.abstract | We provide a new perspective on option and stock price behavior around 52-week highs and lows. We analyze whether option-implied volatilities change when stock prices approach or break through their 52-week high or low. We also study the effects of highs and lows on a stock's beta and return volatility. We find that implied volatilities and stock betas decrease when approaching a high or low, and that volatilities increase after breakthroughs. The effects are economically large and significant. The approach results can be explained by the anchoring theory. The breakthrough results are consistent with anchoring and the investor attention hypothesis. | - |
dc.language | eng | - |
dc.publisher | Oxford University Press. The Journal's web site is located at http://rof.oxfordjournals.org/ | - |
dc.relation.ispartof | Review of Finance | - |
dc.rights | This is a pre-copy-editing, author-produced PDF of an article accepted for publication in Review of Finance following peer review. The definitive publisher-authenticated version Review of Finance, 2013, v. 17 n. 1, p. 369-401 is available online at: http://rof.oxfordjournals.org/content/17/1/369 | - |
dc.title | How the 52-week High and Low Affect Option-implied Volatilities and Stock Return Moments | - |
dc.type | Article | - |
dc.identifier.email | Lin, TC: chunlin@hku.hk | - |
dc.identifier.authority | Lin, TC=rp01077 | - |
dc.description.nature | postprint | - |
dc.identifier.doi | 10.1093/rof/rfr026 | - |
dc.identifier.scopus | eid_2-s2.0-84871256043 | - |
dc.identifier.hkuros | 259302 | - |
dc.identifier.volume | 17 | - |
dc.identifier.issue | 1 | - |
dc.identifier.spage | 369 | - |
dc.identifier.epage | 401 | - |
dc.identifier.isi | WOS:000312642200009 | - |
dc.publisher.place | United Kingdom | - |
dc.identifier.ssrn | 172269 | - |
dc.identifier.issnl | 1572-3097 | - |