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

DOI10.1007/S11147-021-09175-7MaRDI QIDQ2059296zbMATH OpenOpenAlexFDO

Authors Hannes Mohrschladt, Judith C. Schneider

Publication date 13 December 2021

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

Copyright license Creative Commons Attribution 4.0 International

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

zbMATH Keywords

idiosyncratic volatility puzzleinvestor attentionoption-implied volatility spreads

Mathematics Subject Classification ID

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

Recommendations

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Cites work

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

Cited in

(5)

• A novel explanation for idiosyncratic volatility anomaly: an asset decomposition perspective
• Stochastic idiosyncratic cash flow risk and real options: implications for stock returns
• Investor attention and asset pricing anomalies
• scientific article; zbMATH DE number 6401934 (Why is no real title available?)
• Martingale defects in the volatility surface and bubble conditions in the underlying

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