Anomalies and Optionability

73 Pages Posted: 22 Dec 2022 Last revised: 28 Mar 2025

See all articles by Julian Böll

Julian Böll

Karlsruhe Institute of Technology

Julian Thimme

Karlsruhe Institute of Technology

Marliese Uhrig-Homburg

Karlsruhe Institute of Technology (KIT) - Institute for Finance

Date Written: December 12, 2022

Abstract

We observe pronounced differences between anomaly long-short returns in the group of stocks with traded options, relvative to the group of stocks without options. The average monthly anomaly return of 0.63% on non-optionable stocks is almost cut in halves (0.34%) when considering optionable stocks. We document especially large differences for anomalies in momentum, value, and trading frictions-categories, but no differences in profitability, investment, and intangibles-categories. When we adjust for differences in size and liquidity between optionable and non-optionable stocks, the differences in anomaly returns vanish on average. However, we still observe significant differences within some of the categories. These results shed new light on the impact of options on the cross-section of expected stock returns and the origins of anomalies.

Keywords: asset pricing, anomalies, options

JEL Classification: C15, C31, C58, G12

Suggested Citation

Böll, Julian and Thimme, Julian and Uhrig-Homburg, Marliese, Anomalies and Optionability (December 12, 2022). Available at SSRN: https://ssrn.com/abstract=4300137 or http://dx.doi.org/10.2139/ssrn.4300137

Julian Böll

Karlsruhe Institute of Technology ( email )

Kaiserstraße 12
Karlsruhe, DE Baden-Württemberg 76131
Germany

Julian Thimme (Contact Author)

Karlsruhe Institute of Technology ( email )

Kaiserstraße 12
Karlsruhe, Baden Württemberg 76131
Germany

HOME PAGE: http://www.julianthimme.de

Marliese Uhrig-Homburg

Karlsruhe Institute of Technology (KIT) - Institute for Finance ( email )

P.O. Box 6980
D-76049 Karlsruhe, DE
Germany
+49 721 6084 8183 (Phone)
+49 721 6084 8190 (Fax)

HOME PAGE: http://derivate.fbv.kit.edu/english/index.php

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