Current literature is inconclusive as to whether idiosyncratic risk influences future stock returns
and the direction of the impact. Earlier studies are based on historical realized volatility. …

We use option prices to examine whether changes in stock return skewness and kurtosis
preceding earnings announcements provide information about subsequent stock and option …

The first Exchange Traded Note (ETN) was introduced in 2006. Since then, at least 64 other
ETNs have been issued, with more announced. This financial security, which is growing in …

This paper examines the characteristics of real estate investment trust (REIT) equity options
and the predictive power of ex ante risk measures obtained using option prices. In 1996, …

The prices of ETNs often significantly exceed their indicative values. Since ETNs share
many features in common with zero-coupon bonds, this empirical finding is unexpected.(…

In this paper we reexamine the findings of Gompers, Ishii, and Metrick (2003) and Bebchuk,
Cohen, and Ferrell (2009) and find the link between corporate governance (as measured by …

Informed traders often use options that are not in‐the‐money due to higher potential gains
for a smaller upfront cost. Thus, trading activity by option moneyness should be a gauge of …

Persistent divergence of an asset price from its fundamental value has been a subject of much
theoretical and empirical discussion. This paper takes an alternative approach of inquiry – …

Cumulative prospect theory argues that the human decision‐making process tends to improperly
weight unlikely events. Another behavioral phenomenon, anchoring bias, is the failure …

In this paper we reexamine the findings of Gompers, Ishii, and Metrick (2003) and Bebchuk,
Cohen, and Ferrell (2009) and find the link between corporate governance (as measured by …