Andreou, P.C. and Kagkadis, A. and Philip, D. and Tuneshev, T. (2018) 'Differences in options investors' expectations and the cross-section of stock returns.', Journal of banking and finance., 94 . pp. 315-336.
We provide strong evidence that the dispersion of individual stock options trading volume across moneynesses (IDISP) contains valuable information about future stock returns. Stocks with high IDISP consistently underperform those with low IDISP by more than 1% per month. In line with the idea that IDISP reflects dispersion in investors’ beliefs, we find that the negative IDISP-return relationship is particularly pronounced around earnings announcements, in high sentiment periods and among stocks that exhibit relatively high short-selling impediments. Moreover, the IDISP effect is highly persistent and robustly distinct from the effects of a large array of previously documented cross-sectional return predictors.
|Full text:||(AM) Accepted Manuscript|
Available under License - Creative Commons Attribution Non-commercial No Derivatives.
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|Publisher Web site:||https://doi.org/10.1016/j.jbankfin.2018.07.016|
|Publisher statement:||© 2018 This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/|
|Date accepted:||26 July 2018|
|Date deposited:||27 July 2018|
|Date of first online publication:||02 August 2018|
|Date first made open access:||02 February 2020|
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