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Article: How the 52-week High and Low Affect Option-implied Volatilities and Stock Return Moments

TitleHow the 52-week High and Low Affect Option-implied Volatilities and Stock Return Moments
Authors
Issue Date2013
PublisherOxford University Press. The Journal's web site is located at http://rof.oxfordjournals.org/
Citation
Review of Finance, 2013, v. 17 n. 1, p. 369-401 How to Cite?
AbstractWe provide a new perspective on option and stock price behavior around 52-week highs and lows. We analyze whether option-implied volatilities change when stock prices approach or break through their 52-week high or low. We also study the effects of highs and lows on a stock's beta and return volatility. We find that implied volatilities and stock betas decrease when approaching a high or low, and that volatilities increase after breakthroughs. The effects are economically large and significant. The approach results can be explained by the anchoring theory. The breakthrough results are consistent with anchoring and the investor attention hypothesis.
Persistent Identifierhttp://hdl.handle.net/10722/227463
ISSN
2015 Impact Factor: 2.08
2015 SCImago Journal Rankings: 3.505
SSRN

 

DC FieldValueLanguage
dc.contributor.authorDriessen, J-
dc.contributor.authorLin, TC-
dc.contributor.authorVan Hemert, O-
dc.date.accessioned2016-07-18T09:10:52Z-
dc.date.available2016-07-18T09:10:52Z-
dc.date.issued2013-
dc.identifier.citationReview of Finance, 2013, v. 17 n. 1, p. 369-401-
dc.identifier.issn1572-3097-
dc.identifier.urihttp://hdl.handle.net/10722/227463-
dc.description.abstractWe provide a new perspective on option and stock price behavior around 52-week highs and lows. We analyze whether option-implied volatilities change when stock prices approach or break through their 52-week high or low. We also study the effects of highs and lows on a stock's beta and return volatility. We find that implied volatilities and stock betas decrease when approaching a high or low, and that volatilities increase after breakthroughs. The effects are economically large and significant. The approach results can be explained by the anchoring theory. The breakthrough results are consistent with anchoring and the investor attention hypothesis.-
dc.languageeng-
dc.publisherOxford University Press. The Journal's web site is located at http://rof.oxfordjournals.org/-
dc.relation.ispartofReview of Finance-
dc.rightsThis is a pre-copy-editing, author-produced PDF of an article accepted for publication in Review of Finance following peer review. The definitive publisher-authenticated version Review of Finance, 2013, v. 17 n. 1, p. 369-401 is available online at: http://rof.oxfordjournals.org/content/17/1/369-
dc.rightsCreative Commons: Attribution 3.0 Hong Kong License-
dc.titleHow the 52-week High and Low Affect Option-implied Volatilities and Stock Return Moments-
dc.typeArticle-
dc.identifier.emailLin, TC: chunlin@hku.hk-
dc.identifier.authorityLin, TC=rp01077-
dc.description.naturepostprint-
dc.identifier.doi10.1093/rof/rfr026-
dc.identifier.hkuros259302-
dc.identifier.volume17-
dc.identifier.issue1-
dc.identifier.spage369-
dc.identifier.epage401-
dc.publisher.placeUnited Kingdom-
dc.identifier.ssrn172269-

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