DC Field | Value | Language |
---|---|---|
dc.contributor.author | Byun, Suk Joon | ko |
dc.contributor.author | Kim, Da-Hea | ko |
dc.date.accessioned | 2016-11-09T06:58:47Z | - |
dc.date.available | 2016-11-09T06:58:47Z | - |
dc.date.created | 2016-10-31 | - |
dc.date.created | 2016-10-31 | - |
dc.date.issued | 2016-10 | - |
dc.identifier.citation | JOURNAL OF FINANCIAL ECONOMICS, v.122, no.1, pp.155 - 174 | - |
dc.identifier.issn | 0304-405X | - |
dc.identifier.uri | http://hdl.handle.net/10203/213931 | - |
dc.description.abstract | We investigate the relation between the option returns and the underlying stock's lottery like characteristics. Call options written on the most lottery-like stocks underperform otherwise similar call options written on the least lottery-like stocks by 10-20% per month. Moreover, the more lottery-like the underlying stocks, the further and more frequently the options deviate from the put-call parity in the direction induced by overvalued calls. Furthermore, the lottery-like characteristic effect is stronger during periods of high investor sentiment. The results suggest that optimism-induced gambling preference causes lottery like options to be overvalued. (C) 2016 Elsevier B.V. All rights reserved | - |
dc.language | English | - |
dc.publisher | ELSEVIER SCIENCE SA | - |
dc.subject | EXPECTED STOCK RETURNS | - |
dc.subject | INVESTOR SENTIMENT | - |
dc.subject | CROSS-SECTION | - |
dc.subject | SKEWNESS PREFERENCE | - |
dc.subject | SHORT SALES | - |
dc.subject | MARKET | - |
dc.subject | RISK | - |
dc.subject | LOTTERIES | - |
dc.subject | VOLATILITY | - |
dc.subject | ARBITRAGE | - |
dc.title | Gambling preference and individual equity option returns | - |
dc.type | Article | - |
dc.identifier.wosid | 000384628300008 | - |
dc.identifier.scopusid | 2-s2.0-84989814417 | - |
dc.type.rims | ART | - |
dc.citation.volume | 122 | - |
dc.citation.issue | 1 | - |
dc.citation.beginningpage | 155 | - |
dc.citation.endingpage | 174 | - |
dc.citation.publicationname | JOURNAL OF FINANCIAL ECONOMICS | - |
dc.identifier.doi | 10.1016/j.jfineco.2016.06.004 | - |
dc.contributor.localauthor | Byun, Suk Joon | - |
dc.contributor.nonIdAuthor | Kim, Da-Hea | - |
dc.type.journalArticle | Article | - |
dc.subject.keywordAuthor | Stock options | - |
dc.subject.keywordAuthor | Lottery | - |
dc.subject.keywordAuthor | Skewness preference | - |
dc.subject.keywordAuthor | Put-call parity | - |
dc.subject.keywordAuthor | Investor sentiment | - |
dc.subject.keywordPlus | EXPECTED STOCK RETURNS | - |
dc.subject.keywordPlus | INVESTOR SENTIMENT | - |
dc.subject.keywordPlus | CROSS-SECTION | - |
dc.subject.keywordPlus | SKEWNESS PREFERENCE | - |
dc.subject.keywordPlus | SHORT SALES | - |
dc.subject.keywordPlus | MARKET | - |
dc.subject.keywordPlus | RISK | - |
dc.subject.keywordPlus | LOTTERIES | - |
dc.subject.keywordPlus | VOLATILITY | - |
dc.subject.keywordPlus | ARBITRAGE | - |
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