Bernales, A. orcid.org/0000-0003-1539-966X, Verousis, T., Voukelatos, N. et al. (1 more author) (2020) What do we know about individual equity options? Journal of Futures Markets, 40 (1). pp. 67-91. ISSN 0270-7314
Abstract
This paper examines the empirical literature on individual equity options, discussing results in areas of consensus, showing findings in areas of disagreement and providing a guide for future research (especially highlighting analyses that cannot be performed with index options). Key topics include the impact of equity option listings on the underlying stock market, option market efficiency, anomalies in equity option returns, option market microstructure, investors’ behavioral biases, option price discovery, and private information revealed in equity option markets. Some directions for future research include the determinants of equity option returns and the effect of algorithmic trading in option markets.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | © 2019 Wiley Periodicals, Inc. This is an author-produced version of a paper subsequently published in The Journal of Futures Markets. Uploaded in accordance with the publisher's self-archiving policy. |
Keywords: | empirical studies; equity options; literature survey |
Dates: |
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Institution: | The University of Sheffield |
Academic Units: | The University of Sheffield > Faculty of Social Sciences (Sheffield) > Management School (Sheffield) |
Depositing User: | Symplectic Sheffield |
Date Deposited: | 25 Nov 2024 15:49 |
Last Modified: | 25 Nov 2024 15:49 |
Status: | Published |
Publisher: | Wiley |
Refereed: | Yes |
Identification Number: | 10.1002/fut.22066 |
Related URLs: | |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:220087 |