Abstract

http://ssrn.com/abstract=2001461
 
 

References (27)



 


 



Exploiting Option Information in the Equity Market


Guido Baltussen


Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

Bart Van der Grient


Robeco Asset Management - Quantitative Strategies

Wilma De Groot


Robeco Asset Management

Weili Zhou


Robeco Asset Management

Erik Hennink


Rabobank 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 Series


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Date posted: February 8, 2012  

Suggested Citation

Baltussen, Guido and van der Grient, Bart and de Groot, Wilma and Zhou, Weili and Hennink, Erik, Exploiting Option Information in the Equity Market (December 31, 2011). Financial Analysts Journal, Forthcoming. Available at SSRN: http://ssrn.com/abstract=2001461

Contact Information

Guido Baltussen (Contact Author)
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) ( email )
P.O. Box 1738
3000 DR Rotterdam, NL 3062 PA
Netherlands
Bart Van der Grient
Robeco Asset Management - Quantitative Strategies ( email )
P.O. Box 973
3000 AZ Rotterdam
Netherlands
HOME PAGE: http://www.robeco.com
Wilma De Groot
Robeco Asset Management ( email )
Rotterdam, 3011 AG
Netherlands
+31 10 224 3107 (Phone)
Weili Zhou
Robeco Asset Management ( email )
Rotterdam, 3011 AG
Netherlands
+31-10-2242222 (Phone)
HOME PAGE: http://www.robeco.com/quant
Erik Hennink
Rabobank International, Netherlands ( email )
Utrecht 3500 HG
Netherlands
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