What do we know about individual equity options? |
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Authors: | Alejandro Bernales Thanos Verousis Nikolaos Voukelatos Mengyu Zhang |
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Institution: | 1. Centro de Economía 2. Aplicada and Centro de 3. Finanzas, DII, Universidad de Chile, 4. Avenida Republica 701, Santiago Centro, Santiago, Chile;5. Essex Business School, University of Essex, Colchester, Essex, UK;6. Kent Business School, University of Kent, Canterbury, UK |
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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. |
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Keywords: | empirical studies equity options literature survey |
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