Disagreement in the Equity Options Market and Stock Returns. (14th July 2021)
- Record Type:
- Journal Article
- Title:
- Disagreement in the Equity Options Market and Stock Returns. (14th July 2021)
- Main Title:
- Disagreement in the Equity Options Market and Stock Returns
- Authors:
- Golez, Benjamin
Goyenko, Ruslan - Editors:
- Koijen, Ralph
- Abstract:
- Abstract: We estimate investor disagreement from synthetic long and short stock trades in the equity options market. We show that high disagreement predicts low stock returns after positive earnings surprises and high stock returns after negative earnings surprises. The negative effect is stronger for high-beta stocks and stocks that are more difficult to sell short. In the cross-section of all stocks and the subset of the 500 largest companies, high disagreement robustly predicts low monthly and weekly stock returns.
- Is Part Of:
- Review of financial studies. Volume 35:Number 3(2022)
- Journal:
- Review of financial studies
- Issue:
- Volume 35:Number 3(2022)
- Issue Display:
- Volume 35, Issue 3 (2022)
- Year:
- 2022
- Volume:
- 35
- Issue:
- 3
- Issue Sort Value:
- 2022-0035-0003-0000
- Page Start:
- 1443
- Page End:
- 1479
- Publication Date:
- 2021-07-14
- Subjects:
- G12 -- G13 -- G14
Finance -- United States -- Periodicals
Finance -- Periodicals
332 - Journal URLs:
- http://rfs.oxfordjournals.org/ ↗
http://www.jstor.org/journals/08939454.html ↗
http://www3.oup.co.uk/revfin/ ↗
http://ukcatalogue.oup.com/ ↗ - DOI:
- 10.1093/rfs/hhab078 ↗
- Languages:
- English
- ISSNs:
- 0893-9454
- Deposit Type:
- Legaldeposit
- View Content:
- Available online (eLD content is only available in our Reading Rooms) ↗
- Physical Locations:
- British Library DSC - 7790.565000
British Library DSC - BLDSS-3PM
British Library HMNTS - ELD Digital store - Ingest File:
- 20756.xml