The Joint Cross Section of Stocks and Options
Author:
Publisher
Wiley
Subject
Economics and Econometrics,Finance,Accounting
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/jofi.12181/fullpdf
Reference70 articles.
1. Illiquidity and stock returns: Cross-section and time-series effects;Amihud;Journal of Financial Markets,2002
2. Index option prices and stock market momentum;Amin;Journal of Business,2004
3. Option trading, price discovery, and earnings news dissemination;Amin;Contemporary Accounting Research,1997
4. The cross-section of volatility and expected returns;Ang;Journal of Finance,2006
5. High idiosyncratic volatility and low returns: International and further U.S. evidence;Ang;Journal of Financial Economics,2009
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