Stock Return Autocorrelations and Expected Option Returns
References
- (2002) Illiquidity and stock returns: Cross-section and time-series effects. J. Financial Markets 5(1):31–56.Crossref, Google Scholar
- (2023) Volatility measurement with pockets of extreme return persistence. J. Econometrics 237(2):105048.Crossref, Google Scholar
- (2012) Sources of stock return autocorrelation. Working paper, University of California, Berkeley.Google Scholar
- (2011) Maxing out: Stocks as lotteries and the cross-section of expected returns. J. Financial Econom. 99(2):427–446.Crossref, Google Scholar
- (2023) Option return predictability with machine learning and big data. Rev. Financial Stud. 36(9):3548–3602.Crossref, Google Scholar
- (1996) Jumps and stochastic volatility: Exchange rate processes implicit in deutsche mark options. Rev. Financial Stud. 9(1):69–107.Crossref, Google Scholar
- (1973) The pricing of options and corporate liabilities. J. Political Econom. 81(3):637–654.Crossref, Google Scholar
- (2016) Infrequent rebalancing, return autocorrelation, and seasonality. J. Finance 71(6):2967–3006.Crossref, Google Scholar
- (2014) Stock options as lotteries. J. Finance 69(4):1485–1527.Crossref, Google Scholar
- (2007) Model specification and risk premia: Evidence from futures options. J. Finance 62(3):1453–1490.Crossref, Google Scholar
- (2009) Understanding index option returns. Rev. Financial Stud. 22(11):4493–4529.Crossref, Google Scholar
- (2016) Gambling preference and individual equity option returns. J. Financial Econom. 122(1):155–174.Crossref, Google Scholar
- (1993) Trading volume and serial correlation in stock returns. Quart. J. Econom. 108(4):905–939.Crossref, Google Scholar
- (2013) Cross section of option returns and idiosyncratic stock volatility. J. Financial Econom. 108(1):231–249.Crossref, Google Scholar
- (2018) Hedge fund holdings and stock market efficiency. Rev. Asset Pricing Stud. 8(1):77–116.Crossref, Google Scholar
- (2023) Why does volatility uncertainty predict equity option returns? Quart. J. Finance 13(1):1–35.Crossref, Google Scholar
- (2019) What is the conditional autocorrelation on the stock market? Preprint, submitted November 20, http://dx.doi.org/10.2139/ssrn.3490938.Google Scholar
- (2018) Illiquidity premia in the equity options market. Rev. Financial Stud. 31(3):811–851.Crossref, Google Scholar
- (2001) Expected option returns. J. Finance 56(3):983–1009.Crossref, Google Scholar
- (2021) Disentangling autocorrelated intraday returns. Preprint, submitted May 28, http://dx.doi.org/10.2139/ssrn.3857785.Google Scholar
- (2000) Transform analysis and asset pricing for affine jump-diffusions. Econometrica 68(6):1343–1376.Crossref, Google Scholar
- (2017) Optimal option portfolio strategies: Deepening the puzzle of index option mispricing. J. Financial Quant. Anal. 52(1):277–303.Crossref, Google Scholar
- (1973) Risk, return, and equilibrium: Empirical tests. J. Political Econom. 81(3):607–636.Crossref, Google Scholar
- (2020) A tractable framework for option pricing with dynamic market maker inventory and wealth. J. Financial Quant. Anal. 55(4):1117–1162.Crossref, Google Scholar
- (2009) Cross-section of option returns and volatility. J. Financial Econom. 94(2):310–326.Crossref, Google Scholar
- (1991) Option prices and the underlying return’s distribution. J. Finance 46(3):1045–1069.Crossref, Google Scholar
- (1993) A closed-form solution for options with stochastic volatility with applications to bond and currency options. Rev. Financial Stud. 6(2):327–343.Crossref, Google Scholar
- (2020) Volatility and expected option returns. J. Financial Quant. Anal. 55(3):1025–1060.Crossref, Google Scholar
- (2003) Dynamic derivative strategies. J. Financial Econom. 69(3):401–430.Crossref, Google Scholar
- (1988) Stock market prices do not follow random walks: Evidence from a simple specification test. Rev. Financial Stud. 1(1):41–66.Crossref, Google Scholar
- (1990) When are contrarian profits due to stock market overreaction? Rev. Financial Stud. 3(2):175–205.Crossref, Google Scholar
- (1995) Implementing option pricing models when asset returns are predictable. J. Finance 50(1):87–129.Crossref, Google Scholar
- (2021) On the autocorrelation of the stock market. J. Financial Econometrics 19(1):39–52.Crossref, Google Scholar
- (1976) Option pricing when underlying stock returns are discontinuous. J. Financial Econom. 3(1–2):125–144.Crossref, Google Scholar
- (1987) A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica 55(3):703–708.Crossref, Google Scholar
- (2005) Stock price clustering on option expiration dates. J. Financial Econom. 78(1):49–87.Crossref, Google Scholar
- (2020) Volatility-of-volatility and the cross-section of option returns. J. Financial Markets 48:100492.Crossref, Google Scholar
- (1984) A simple formula for the expected rate of return of an option over a finite holding period. J. Finance 39(5):1503–1509.Crossref, Google Scholar
- (2017) Equity volatility term structures and the cross section of option returns. J. Financial Quant. Anal. 52(6):2727–2754.Crossref, Google Scholar
- (2023) Default risk and option returns. Management Sci. 70(4):2144–2167.Link, Google Scholar
- (2009) Option pricing with mean reversion and stochastic volatility. Eur. J. Oper. Res. 197(1):179–187.Crossref, Google Scholar
- (2022) Option return predictability. Rev. Financial Stud. 35(3):1394–1442.Crossref, Google Scholar

