Why Do Option Prices Predict Stock Returns? The Role of Price Pressure in the Stock Market

• Luis Goncalves-Pinto

  Luis Goncalves-Pinto

  [email protected]

  http://orcid.org/0000-0002-2892-5641

  School of Banking and Finance, University of New South Wales, Sydney, New South Wales 2052, Australia;Department of Finance, Chinese University of Hong Kong, Hong Kong;

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• Bruce D. Grundy

  Bruce D. Grundy

  [email protected]

  http://orcid.org/0000-0002-7438-1374

  Department of Finance, University of Melbourne, Melbourne, Victoria 3010, Australia;

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• Allaudeen Hameed

  Corresponding Author

  Allaudeen Hameed

  [email protected]

  http://orcid.org/0000-0001-7512-5295

  Department of Finance, National University of Singapore, Singapore 119245;

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• Thijs van der Heijden

  Thijs van der Heijden

  [email protected]

  http://orcid.org/0000-0001-5999-9398

  Department of Finance, University of Melbourne, Melbourne, Victoria 3010, Australia;

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• Yichao Zhu

  Yichao Zhu

  [email protected]

  http://orcid.org/0000-0001-9126-2732

  Research School of Finance, Actuarial Studies and Statistics, Australian National University, Canberra, Australian Capital Territory 0200, Australia

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