File Download
  Links for fulltext
     (May Require Subscription)
Supplementary

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
Driessen, JLin, TCVan Hemert, O
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?
DOI: http://dx.doi.org/10.1093/rof/rfr026
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
1572-3097
2023 Impact Factor: 5.6
2023 SCImago Journal Rankings: 7.769
SSRN
172269
ISI Accession Number ID
WOS:000312642200009

 

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.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.scopuseid_2-s2.0-84871256043-
dc.identifier.hkuros259302-
dc.identifier.volume17-
dc.identifier.issue1-
dc.identifier.spage369-
dc.identifier.epage401-
dc.identifier.isiWOS:000312642200009-
dc.publisher.placeUnited Kingdom-
dc.identifier.ssrn172269-
dc.identifier.issnl1572-3097-

Export via OAI-PMH Interface in XML Formats

OR

Export to Other Non-XML Formats