This study investigates which index characteristics predict returns in the cross-section of
local industry indexes in six regions. The results show that geographical origin and market …

This study examines the cross-sectional relation between return range and future returns for
the first time in literature. We show that the return range can serve as a very practical …

Blockchain exchange-traded funds (ETFs) are nascent products in the financial industry. A
limited literature focuses on the multifractal analysis of some conventional ETFs, but the …

This study analyses the presence of implied volatility smirk (IVS) and its predictability of the
US stock market crash during the Global Financial Crisis (GFC) through the in-sample and …

In this paper, we examine if herding behaviour in the equity market can be explained by
option‐implied information. Our empirical results confirm the commonly reported absence of …

Purpose Recent studies suggested the ratio of option to stock volume reflected the private
information. Informed traders were drawn to the options market for its leverage effect and …

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 …

In this paper, we consider the problem of calculating risk-neutral implied volatilities of
European options without relying on option mid prices but solely on bid and ask prices. We …

Consensus views in finance must be continuously challenged and re-evaluated. This thesis
uses new techniques and modern perspectives to challenge commonly held beliefs, both …

There exists a significant and positive cross-sectional relation between moneyness spread
and future stock returns. Stocks with high moneyness spread outperform stocks with low …