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- W4313593893 abstract "We investigate stock return predictability by various option price-based measures using real estate investment trusts (REITs). REITs are more transparent and efficiently priced than general stocks, but REIT options are less liquid. We find that most of the option price-based measures do not significantly forecast REIT stock returns, but changes in option implied volatilities are robust and significant return predictors. We provide further evidence supporting the informed trading channel instead of price pressure effects as the explanation for this return predictability." @default.
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- W4313593893 date "2023-03-01" @default.
- W4313593893 modified "2023-09-25" @default.
- W4313593893 title "Option price implied information and REIT returns" @default.
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- W4313593893 doi "https://doi.org/10.1016/j.jempfin.2022.12.013" @default.
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