Deviations from Put-Call Parity and Stock Return Predictability

By Martijn Cremers, David R. Weinbaum. 2010

513 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/4602371be097c370f49a3e4ad933cacb46af99fe

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Accounting

1. Turan G. Bali
2. Adrian Buss
3. Yuliya Plyakha
4. Dmitriy Muravyev
5. Andrew Ang
6. Victor DeMiguel
7. Nusret Cakici
8. Scott Murray

In Economics and Econometrics

1. Turan G. Bali
2. Scott Murray
3. Raman Uppal
4. Nusret Cakici
5. Grigory Vilkov
6. Victor DeMiguel
7. Yuliya Plyakha
8. J. Diaz

In Finance

1. Raman Uppal
2. Turan G. Bali
3. Victor DeMiguel
4. Scott Murray
5. Grigory Vilkov
6. Nusret Cakici
7. Yuliya Plyakha
8. Andrew Ang

Citations in the corpus

• High Technology ETF Forecasting: Application of Grey Relational Analysis and Artificial Neural Networks (2013, background): “Cremers and Weinbaum (2010) show that the differences from put-call parity provide helpful information in influencing future stock returns.”
• Does Risk-Neutral Skewness Predict the Cross-Section of Equity Option Portfolio Returns? (2013, background): “Bali and Hovakimian (2009) and Cremers and Weinbaum (2010) show that the difference between ATM call-implied volatility (CIV) and ATM put-implied volatility (PIV) predicts future stock performance, so we form stock and straddle return factors based on the CIV − PIV signal.”
• The Joint Cross Section of Stocks and Options (2013, background): “A standardized option is only included if there exists enough underlying option price data on that date to accurately compute an interpolated value.”
• Improving Portfolio Selection Using Option-Implied Volatility and Skewness (2013, background): “The second measure of skewness we consider is the spread between the Black-Scholes implied volatility for pairs of calls and puts, which is studied in Bali and Hovakimian (2009) and Cremers and Weinbaum (2010). We follow the methodology of Bali and Hovakimian (2009) to compute the call-put volatilit”
• Is There Price Discovery in Equity Options (2013, background): “In the option market, Ofek, Richardson, and Whitelaw (2004), Battalio and Schultz (2006), and Cremers and Weinbaum (2010) have studied put-call parity violations.”
• Volatility Spreads and Expected Stock Returns (2009, unknown): “(1998), Cremers and Weinbaum (2009) find evidence suggesting that informed investors choose to trade in options before trading in the underlying stocks.”
• Measuring Equity Risk with Option-Implied Correlations (2012, background): “…of stock returns: Goyal and Saretto (2009)24 and Bali and Hovakimian (2009) show that the variance risk premium is negatively linked to returns; and Cremers and Weinbaum (2010), Rehman and Vilkov (2010), Xing, Zhang, and Zhao (2010), and Conrad, Dittmar, and Ghysels (2012), among others, find a…”
• The option to stock volume ratio and future returns (2012, background): “Similarly, Cremers and Weinbaum (2010) and Zhang, Zhao, and Xing (2010) find that publicly available asymmetries in implied volatility across calls and puts predict future returns.”