Erik Hennink

Rabobank International, Netherlands

Utrecht 3500 HG

Netherlands

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Exploiting Option Information in the Equity Market

Financial Analysts Journal, Forthcoming
Number of pages: 39 Posted: 08 Feb 2012
Erasmus University Rotterdam (EUR), Robeco Asset Management - Quantitative Strategies, Robeco Asset Management, Robeco Asset Management and Rabobank International, Netherlands
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Abstract:

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stock selection, behavioral finance, alpha strategies, equity returns, option markets, stock markets, information spillover, asset pricing