What do we know about individual equity options?
Bernales, Alejandro Verousis, Thanos Voukelatos, Nikolaos Zhang, Mengyu
Bernales, Alejandro
Verousis, Thanos
Voukelatos, Nikolaos
Zhang, Mengyu
Citations
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Publication Type
Journal article with impact factor
Editor
Supervisor
Publication Year
2020
Journal
The Journal of Futures Markets
Book
Publication Volume
40
Publication Issue
1
Publication Begin page
67
Publication End page
91
Publication NUmber of pages
Collections
Abstract
This paper examines the empirical literature on individual equity options, discussing results in areas of consensus, showing findings in areas of disagreement and providing a guide for future research (especially highlighting analyses that cannot be performed with index options). Key topics include the impact of equity option listings on the underlying stock market, option market efficiency, anomalies in equity option returns, option market microstructure, investors’ behavioral biases, option price discovery, and private information revealed in equity option markets. Some directions for future research include the determinants of equity option returns and the effect of algorithmic trading in option markets.
Research Projects
Organizational Units
Journal Issue
Keywords
Equity Options, Empirical Studies, Literature Survey