Zobrazeno 1 - 10
of 22
pro vyhledávání: '"Allen M. Poteshman"'
Publikováno v:
The Review of Financial Studies. 34:1952-1986
The question of whether and to what extent option trading impacts underlying stock prices has been a focus of intense interest since options began exchange-based trading in 1973. Despite considerable effort, no convincing evidence for a pervasive imp
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d61d9229e41c132b1338bf57d2a0f89e
https://doi.org/10.1093/rfs/hhaa082
https://doi.org/10.1093/rfs/hhaa082
Publikováno v:
The Review of Financial Studies. 22:4259-4299
We model demand-pressure effects on option prices. The model shows that demand pressure in one option contract increases its price by an amount proportional to the variance of the unhedgeable part of the option. Similarly, the demand pressure increas
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::8071949fb27a10ad02681316b5605fd1
http://hdl.handle.net/10.1093/rfs/hhp005
http://hdl.handle.net/10.1093/rfs/hhp005
Autor:
Allen M. Poteshman, Reza S. Mahani
Publikováno v:
Journal of Empirical Finance. 15:635-655
This paper examines investors' option activity on value and growth stocks before earnings announcements. The main finding is that unsophisticated investors enter option positions that load up on growth stocks relative to value stocks in the days lead
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::3520f0387a09bd612b78befc4624036c
https://doi.org/10.1016/j.jempfin.2007.11.001
https://doi.org/10.1016/j.jempfin.2007.11.001
Publikováno v:
The Journal of Finance. 63:1059-1091
This paper investigates informed trading on stock volatility in the option market. We construct non-market maker net demand for volatility from the trading volume of individual equity options and find that this demand is informative about the future
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::427b7bc2b712124afed90441438dea12
https://doi.org/10.1111/j.1540-6261.2008.01352.x
https://doi.org/10.1111/j.1540-6261.2008.01352.x
Publikováno v:
Review of Financial Studies. 20:813-857
This article uses a unique option data set to provide detailed descriptive statistics on the purchased and written open interest and open buy and sell volume of several classes of investors. We also show that volatility trading through straddles and
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3af0f5167d95a6acf995b90bcb407999
https://doi.org/10.1093/rfs/hhl025
https://doi.org/10.1093/rfs/hhl025
Autor:
Jun Pan, Allen M. Poteshman
Publikováno v:
Review of Financial Studies. 19:871-908
We present strong evidence that option trading volume contains information about future stock prices. Taking advantage of a unique data set, we construct put-call ratios from option volume initiated by buyers to open new positions. Stocks with low pu
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c03368231354b38edead3fcec26c6760
https://doi.org/10.1093/rfs/hhj024
https://doi.org/10.1093/rfs/hhj024
Publikováno v:
Journal of Financial and Quantitative Analysis. 40:259-281
This paper examines optimal capital structure choice using a dynamic capital structure model that is calibrated to reflect actual firm characteristics. The model uses contingent claim methods to value interest tax shields, allows for reorganization i
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::fe9aa39539383a87cd162de7cb893691
https://doi.org/10.1017/s0022109000002301
https://doi.org/10.1017/s0022109000002301
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::95ff21b7ffb9b76fecc4b10e6b408c32
https://doi.org/10.2139/ssrn.970592
https://doi.org/10.2139/ssrn.970592
Publikováno v:
SSRN Electronic Journal.
This paper investigates informed trading on stock volatility in the option market. Using a unique data set from the Chicago Board Options Exchange, we construct non-market maker net demand for stock volatility from the trading volume of individual eq
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::aef5501b923fe9ab04b9d7365e603424
https://doi.org/10.2139/ssrn.809107
https://doi.org/10.2139/ssrn.809107
Autor:
Jun Pan, Allen M. Poteshman
We present strong evidence that option trading volume contains information about future stock price movements. Taking advantage of a unique dataset from the Chicago Board Options Exchange, we construct put-call ratios from option volume initiated by
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::7d5121c52004558edf8d6feec829f8f2
https://doi.org/10.3386/w10925
https://doi.org/10.3386/w10925
