Footnote:
In: Financial Analysts Journal, Forthcoming
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 31, 2011 erstellt
Description:
Public option market information contains exploitable information for equity investors for an investable universe of liquid large-cap stocks. Strategies based on several option measures predict returns and alphas on the underlying stock. Transaction costs are an important factor given the high turnover of these strategies, but significant net alphas can be obtained when using a simple transaction cost reducing approach. These findings suggest that information diffuses from the option market into the underlying stock market