Why Do Option Prices Predict Stock Returns? The Role of Price Pressure in the Stock Market.
Luis Goncalves-PintoBruce D. GrundyAllaudeen HameedThijs van der HeijdenYichao ZhuPublished in: Manag. Sci. (2020)
Keyphrases
- stock market
- stock returns
- chinese stock market
- stock data
- financial time series
- stock price
- short term
- financial markets
- stock exchange
- cross sectional
- developed countries
- listed companies
- stock index futures
- financial data
- decision making
- garch model
- early warning
- market data
- text classification
- decision makers
- long term