Investor Sentiment and Option Prices

By Bing Han. 2008

356 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/d61d953dce2de212f7dc294d72d15df63cd2add9

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Citations in the corpus

Nominal price illusion (2016, methodology): “…investors overweight the importance of price relative to its observed relationship with physical skewness (or 6 See Dennis and Mayhew (2002), Han (2008), Bali and Murray (2013), and Conrad, Dittmar, and Ghysels (2013), among others. rational model-predicted expected skewness measures that…”
Can Facebook Predict Stock Market Activity (2013, unknown): “It is unclear, however, what the appropriate time horizon is for examining reversals (Han, 2008). In the reported return predictability regressions, there is some indication of return reversal (particularly, in the second lag of the GNH); however, this nding is statistically insigni cant. To examine”
Option trading and individual investor performance (2009, unknown): “Moreover, Han (2008) finds that investor sentiment about the stock market affects option prices.”
The Puzzle of Index Option Returns (2013, methodology): “To address these issues, we compute a put-call-parity-implied interest rate.”
Investor sentiment effect in stock markets: Stock characteristics or country-specific factors? (2013, background): “Han, B., (2008). Investor sentiment and option prices, Review of Financial Studies, 21, 1, 387-414. Ho, Ch., & Hung, Ch. (2009). Investor sentiment as conditioning information in asset pricing, Journal of Banking and Finance, 33, 892-903. Hofstede, G., (2001). Culture’s consequences: comparing value”
Explaining Asset Pricing Puzzles Associated with the 1987 Market Crash (2011, unknown): “Also related is a growing literature that investigates the effect of changes in investors’ sentiment (e.g., Han (2008)), market structure, and net buying pressure (e.g., Bollen and Whaley (2004), Dennis and Mayhew (2002), and Gârleanu et al. (2009)) on the shape of the implied volatility smile.”
Investor Sentiment, Limits to Arbitrage and Private Market Returns (2014, methodology): “In contrast to Riddiough, Moriarty and Yeatman (2005) and Pagliari, Scherer and Monopoli (2005), we use quarterly rather than annual Compustat data and our weights are all predetermined (i.e., no forward-looking weights are applied to the components or returns in our unlevering and return calculatio”