Idiosyncratic volatility, option-based measures of informed trading, and investor attention
نویسندگان
چکیده
منابع مشابه
Informed Trading in Stock and Option Markets
We investigate the contribution of option markets to price discovery, using a modification of Hasbrouck’s (1995) “information share” approach. Based on five years of stock and options data for 60 firms, we estimate the option market’s contribution to price discovery to be about 17% on average. Option market price discovery is related to trading volume and spreads in both markets, and stock vola...
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ژورنال
عنوان ژورنال: Review of Derivatives Research
سال: 2021
ISSN: 1380-6645,1573-7144
DOI: 10.1007/s11147-021-09175-7