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Moreover, OTM options displace other types of lottery securities in the stock and option markets when available.We find evidence that uninformed traders (e.g., gamblers) may drive lottery …Read More » Measures of short sale constraints and short selling activity strongly predict stock returns.
Read More » This paper provides empirical evidence that volatility markets are integrated through the time-varying term-structure of variance risk premia.
These risk premia predict the returns from selling volatility for different horizons, maturities, and products including variance swaps, straddles, and VIX futures.
In addition, most of the world's industrialized nations have stock exchanges.
Among the larger international exchanges are those in London, England; Paris, France; Milan, Italy; Hong Kong, China; Toronto, Canada; and Tokyo, Japan.
But not all stocks are bought and sold at a specific site. Many of these stocks are traded over the counterthat is, by telephone or by computer.
Major stock exchanges in the United States include the New York Stock Exchange (NYSE) and the American Stock Exchange (AMEX), both in New York City.
Stocks with high option-implied risk-neutral skewness (RNS) have positive abnormal returns driven by rebounds following poor performance.
This performance reversal in past loser stocks also underlies momentum crashes.
Read More » We present a new framework to investigate the profitability of trading the volatility spread, the upward bias on implied volatility as an estimator of future realized volatility.
The scheme incorporates the first four option-implied moments in a growth-optimal payoff that is statically replicated using a portfolio of options.