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Conference Paper: Why Do Options Prices Predict Stock Returns?

TitleWhy Do Options Prices Predict Stock Returns?
Authors
Lin, TCLu, XDriessen, JJAG
Issue Date2013
PublisherWestern Finance Association (WFA).
Citation
The 48th Annual Conference of the Western Finance Association (WFA), Nevada, USA, 17-20 June 2013 How to Cite?
AbstractWe study the role of analysts and options traders in the information transmission between options and stock markets. We first show that the predictive power of option-implied volatilities (IVs) on stock returns is more than doubled around analyst-related events, indicating a significant proportion of the options predictability on stock returns comes from informed options traders’ information about upcoming analyst-related news. We examine three explanations for this finding: tipping, reverse tipping and common information. We find that analyst tipping to options traders is the most consistent explanation of these predictive patterns.
Persistent Identifierhttp://hdl.handle.net/10722/199692

 

DC FieldValueLanguage
dc.contributor.authorLin, TCen_US
dc.contributor.authorLu, Xen_US
dc.contributor.authorDriessen, JJAGen_US
dc.date.accessioned2014-07-22T01:28:25Z-
dc.date.available2014-07-22T01:28:25Z-
dc.date.issued2013en_US
dc.identifier.citationThe 48th Annual Conference of the Western Finance Association (WFA), Nevada, USA, 17-20 June 2013en_US
dc.identifier.urihttp://hdl.handle.net/10722/199692-
dc.description.abstractWe study the role of analysts and options traders in the information transmission between options and stock markets. We first show that the predictive power of option-implied volatilities (IVs) on stock returns is more than doubled around analyst-related events, indicating a significant proportion of the options predictability on stock returns comes from informed options traders’ information about upcoming analyst-related news. We examine three explanations for this finding: tipping, reverse tipping and common information. We find that analyst tipping to options traders is the most consistent explanation of these predictive patterns.en_US
dc.languageengen_US
dc.publisherWestern Finance Association (WFA).-
dc.relation.ispartofAnnual Conference of the Western Finance Associationen_US
dc.titleWhy Do Options Prices Predict Stock Returns?en_US
dc.typeConference_Paperen_US
dc.identifier.emailLin, TC: chunlin@hku.hken_US
dc.identifier.authorityLin, TC=rp01077en_US
dc.identifier.hkuros231201en_US
dc.publisher.placeUnited States-

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