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pro vyhledávání: '"Beckmeyer, Heiner"'
Autor:
Bali, Turan G1 (AUTHOR) turan.bali@georgetown.edu, Beckmeyer, Heiner2 (AUTHOR), Mörke, Mathis3 (AUTHOR), Weigert, Florian4 (AUTHOR)
Publikováno v:
Review of Financial Studies. Sep2023, Vol. 36 Issue 9, p3548-3602. 55p.
Autor:
Beckmeyer, Heiner, Wiedemann, Timo
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::8ea3f7d53e0421e96b835930d605b8a1
https://doi.org/10.2139/ssrn.4003455
https://doi.org/10.2139/ssrn.4003455
Rebalancing of leveraged ETFs (LETFs) and delta-hedging of equity options by intermediaries are two distinct and economically significant sources of liquidity demands. We show that they induce end-of-day momentum and mean-reversion in returns. While
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_________2::54f7f2544fa97901b8cc80f44a0e97b4
http://www.alexandria.unisg.ch/266653/
http://www.alexandria.unisg.ch/266653/
Leveraged ETFs and market makers who are active in option markets must ad-just imbalances arising from market movements. Establishing delta-neutrality may cause either return momentum or reversal depending on the sign and size of the imbalance vis-a-
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_________2::ab64168abe04919bace9c20bbc86c1a4
http://www.alexandria.unisg.ch/264338/
http://www.alexandria.unisg.ch/264338/
Drawing upon more than 12 million observations over the period from 1996 to 2020, we find that allowing for nonlinearities significantly increases the out-of-sample performance of option and stock characteristics in predicting future option returns.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______1687::ae71d54340ef1792a885ca01d1926d5b
https://hdl.handle.net/10419/242849
https://hdl.handle.net/10419/242849