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- W2897048283 abstract "Abstract This study examines the directional information content realized by trades in a highly liquid options market by constructing put–call volume ratios and decoupled options‐to‐spot volume ratios. By investigating whether the specific investor type predicts underlying returns and the method used to exploit a directional information advantage, we find that foreign investment firms can leverage their directional information by executing buy trades to open new positions. Their open‐buy trades significantly predict next‐day spot returns, whereas trades initiated by domestic firms do not. This relationship becomes stronger for out‐of‐the‐money, large, and short‐horizon options trades and during the short‐sale restriction period." @default.
- W2897048283 created "2018-10-26" @default.
- W2897048283 creator A5008162674 @default.
- W2897048283 creator A5020969387 @default.
- W2897048283 date "2018-10-07" @default.
- W2897048283 modified "2023-10-14" @default.
- W2897048283 title "The directional information content of options volumes" @default.
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- W2897048283 doi "https://doi.org/10.1002/fut.21960" @default.
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