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• W2034230824 abstract "Does the retail clientele matter for option returns? By delta-hedging options and trading straddles, thus allowing a focus on volatility, this paper empirically shows that a higher retail trading proportion (RTP) is related to lower option returns. Long-short portfolios involving options on low and high RTP stocks generate significantly positive abnormal returns. The results suggest that retail investors speculate and pay a lottery premium on the expected future volatility, resulting in more expensive options with higher implied volatilities. This systematic deviation of option-implied volatility from realized volatility suggests retail clientele as a behavioral-based driving force of volatility risk premium." @default.
• W2034230824 created "2016-06-24" @default.
• W2034230824 creator A5075969656 @default.
• W2034230824 date "2011-01-01" @default.
• W2034230824 modified "2023-09-25" @default.
• W2034230824 title "Retail Clientele and Option Returns" @default.
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• W2034230824 doi "https://doi.org/10.2139/ssrn.1577942" @default.
• W2034230824 hasPublicationYear "2011" @default.
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