التفاصيل البيبلوغرافية
| العنوان: |
Overcoming Arbitrage Limits: Option Trading and Momentum Returns. |
| المؤلفون: |
Abhyankar, Abhay, Filippou, Ilias, Garcia-Ares, Pedro A. |
| المصدر: |
Journal of Financial & Quantitative Analysis; Feb2024, Vol. 59 Issue 1, p97-120, 24p |
| مصطلحات موضوعية: |
PROFIT, SHORT selling (Securities), STOCKS (Finance), STOCK options, SECURITIES trading, STOCK exchanges, LOANS, PRICING |
| مستخلص: |
Momentum profits depend mainly on the short leg and therefore on barriers to short sales. Our research indicates that the decline in momentum profitability in the past 2 decades is driven partly by a contemporaneous growth in stock options trading. Stock options offer an alternative to short selling, augmenting the stock lending market, and thereby contributing to improved pricing efficiency. The resulting reduction in barriers to short sales contributes to lower returns to momentum trading from the short leg. Our results persist after matching stocks with and without options based on different firm-level characteristics. [ABSTRACT FROM AUTHOR] |
|
Copyright of Journal of Financial & Quantitative Analysis is the property of Cambridge University Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) |
| قاعدة البيانات: |
Complementary Index |
Full Text Finder