Idiosyncratic volatility, option-based measures of informed trading, and investor attention

DOI10.1007/S11147-021-09175-7zbMath1479.91411OpenAlexW3127475332MaRDI QIDQ2059296

Judith C. Schneider, Hannes Mohrschladt

Publication date: 13 December 2021

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-021-09175-7

zbMATH Keywords

investor attentionidiosyncratic volatility puzzleoption-implied volatility spreads

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• An empirical investigation of large trader market manipulation in derivatives markets
• Option-implied value-at-risk and the cross-section of stock returns
• Volatility Spreads and Expected Stock Returns
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Common risk factors in the returns on stocks and bonds

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