Matches in SemOpenAlex for { <https://semopenalex.org/work/W2191444835> ?p ?o ?g. }
Showing items 1 to 89 of
89
with 100 items per page.
- W2191444835 abstract "We provide evidence of a strong effect of the underlying stock’s illiquidity on option prices by showing that the average absolute difference between historical and implied volatility increases with stock illiquidity. This pattern translates into significant excess returns of option trading strategies that are not explained by common risk factors. Simulation results show, however, that our results can be explained by the hedging costs of market makers who are sometimes net long and sometimes net short in options. Our empirical findings are robust with respect to the chosen illiquidity measure, the measure of option expensiveness, and the return period." @default.
- W2191444835 created "2016-06-24" @default.
- W2191444835 creator A5047703393 @default.
- W2191444835 creator A5065471031 @default.
- W2191444835 creator A5065989074 @default.
- W2191444835 date "2016-01-01" @default.
- W2191444835 modified "2023-10-16" @default.
- W2191444835 title "Stock Illiquidity, Option Prices, and Option Returns" @default.
- W2191444835 cites W1512217105 @default.
- W2191444835 cites W1966977762 @default.
- W2191444835 cites W1979986072 @default.
- W2191444835 cites W1985808284 @default.
- W2191444835 cites W1995834279 @default.
- W2191444835 cites W2049801550 @default.
- W2191444835 cites W2099060645 @default.
- W2191444835 cites W2099475915 @default.
- W2191444835 cites W2099841768 @default.
- W2191444835 cites W2100821524 @default.
- W2191444835 cites W2103175468 @default.
- W2191444835 cites W2103988645 @default.
- W2191444835 cites W2109382381 @default.
- W2191444835 cites W2110553447 @default.
- W2191444835 cites W2111502349 @default.
- W2191444835 cites W2117178635 @default.
- W2191444835 cites W2120139936 @default.
- W2191444835 cites W2126891099 @default.
- W2191444835 cites W2128801021 @default.
- W2191444835 cites W2130687778 @default.
- W2191444835 cites W2136364195 @default.
- W2191444835 cites W2137582495 @default.
- W2191444835 cites W2141185104 @default.
- W2191444835 cites W2141439600 @default.
- W2191444835 cites W2146307577 @default.
- W2191444835 cites W2148080284 @default.
- W2191444835 cites W2150288967 @default.
- W2191444835 cites W2158120228 @default.
- W2191444835 cites W2161836471 @default.
- W2191444835 cites W2257048727 @default.
- W2191444835 cites W2332145576 @default.
- W2191444835 cites W2467235807 @default.
- W2191444835 cites W3023906401 @default.
- W2191444835 cites W3121327553 @default.
- W2191444835 cites W3122328496 @default.
- W2191444835 cites W3122404269 @default.
- W2191444835 cites W3122983259 @default.
- W2191444835 cites W3123497477 @default.
- W2191444835 cites W3123891986 @default.
- W2191444835 cites W69750804 @default.
- W2191444835 doi "https://doi.org/10.2139/ssrn.2699529" @default.
- W2191444835 hasPublicationYear "2016" @default.
- W2191444835 type Work @default.
- W2191444835 sameAs 2191444835 @default.
- W2191444835 citedByCount "1" @default.
- W2191444835 countsByYear W21914448352019 @default.
- W2191444835 crossrefType "journal-article" @default.
- W2191444835 hasAuthorship W2191444835A5047703393 @default.
- W2191444835 hasAuthorship W2191444835A5065471031 @default.
- W2191444835 hasAuthorship W2191444835A5065989074 @default.
- W2191444835 hasConcept C106159729 @default.
- W2191444835 hasConcept C127413603 @default.
- W2191444835 hasConcept C144133560 @default.
- W2191444835 hasConcept C162324750 @default.
- W2191444835 hasConcept C204036174 @default.
- W2191444835 hasConcept C556758197 @default.
- W2191444835 hasConcept C78519656 @default.
- W2191444835 hasConceptScore W2191444835C106159729 @default.
- W2191444835 hasConceptScore W2191444835C127413603 @default.
- W2191444835 hasConceptScore W2191444835C144133560 @default.
- W2191444835 hasConceptScore W2191444835C162324750 @default.
- W2191444835 hasConceptScore W2191444835C204036174 @default.
- W2191444835 hasConceptScore W2191444835C556758197 @default.
- W2191444835 hasConceptScore W2191444835C78519656 @default.
- W2191444835 hasLocation W21914448351 @default.
- W2191444835 hasOpenAccess W2191444835 @default.
- W2191444835 hasPrimaryLocation W21914448351 @default.
- W2191444835 hasRelatedWork W1582019588 @default.
- W2191444835 hasRelatedWork W1582962718 @default.
- W2191444835 hasRelatedWork W1964151677 @default.
- W2191444835 hasRelatedWork W1964819758 @default.
- W2191444835 hasRelatedWork W1977497738 @default.
- W2191444835 hasRelatedWork W1988513709 @default.
- W2191444835 hasRelatedWork W2009839884 @default.
- W2191444835 hasRelatedWork W2890602371 @default.
- W2191444835 hasRelatedWork W3121729327 @default.
- W2191444835 hasRelatedWork W3123252625 @default.
- W2191444835 isParatext "false" @default.
- W2191444835 isRetracted "false" @default.
- W2191444835 magId "2191444835" @default.
- W2191444835 workType "article" @default.