The option to stock volume ratio and future returns

By Travis L. Johnson, Eric C. So. 2012

322 citations recorded by the source corpus.

Subfields: Accounting, Finance, Strategy and Management

View Paper: https://www.semanticscholar.org/paper/351f631cb2fe8ac9f61bc6d1372ec72a9be4d00d

Citations in the corpus

• ... and the Cross-Section of Expected Returns (2013, unknown): “While Lamont, Polk, and Saa-Requejo (2001) use the Kaplan and Zingales (1997) index to proxy for firm-level financial constraints, Whited and Wu (2006) estimate their own constraint index based on the first-order conditions of firms’ optimization problem.”
• The Joint Cross Section of Stocks and Options (2013, unknown): “Johnson and So (2012) show that the ratio of option market volume to equity market volume predicts stock returns.”