|
|
|
|
||||
|
||||
Exploiting Option Information in the Equity MarketGuido BaltussenErasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) Bart Van der GrientRobeco Asset Management - Quantitative Strategies Wilma De GrootRobeco Asset Management Weili ZhouRobeco Asset Management Erik HenninkRabobank International, Netherlands December 31, 2011 Financial Analysts Journal, Forthcoming Abstract: Public option market information contains exploitable information for equity investors for an investable universe of liquid large-cap stocks. Strategies based on several option measures predict returns and alphas on the underlying stock. Transaction costs are an important factor given the high turnover of these strategies, but significant net alphas can be obtained when using a simple transaction cost reducing approach. These findings suggest that information diffuses from the option market into the underlying stock market.
Number of Pages in PDF File: 39 Keywords: stock selection, behavioral finance, alpha strategies, equity returns, option markets, stock markets, information spillover, asset pricing JEL Classification: G11, G12 Accepted Paper SeriesDate posted: February 8, 2012Suggested CitationContact Information
|
|
||||||||||||||||||||||
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
FAQ
Terms of Use
Privacy Policy
Copyright
This page was processed by apollo2 in 1.235 seconds
