Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 5, 2020 erstellt
Beschreibung:
We show that option traders suffer from the anchoring effect induced by the stock price’s 52-week high or low. Specifically: 1) trading of all options decreases as the stock price approaches its 52- week high or low; 2) the buy-sell imbalance for calls decreases and that for puts increases as the stock price approaches its 52-week high, and the opposite occurs as the stock price approaches its 52-week low; and 3) the subsequent delta-hedged option returns for both calls and puts are higher as the stock price approaches its 52-week extreme