Informational Content of Options Trading on Acquirer Announcement Return

A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity

Halbert White · Econometrica · 1980 · 25.8K citations

Empirical Finance, Econometric Model, Volatility Modeling +13

Do Long-Term Shareholders Benefit From Corporate Acquisitions?

Tim Loughran, Anand M. Vijh · The Journal of Finance · 1997 · 937 citations

Firm Performance, Law, Positive Excess Returns +17

What Does the Individual Option Volatility Smirk Tell Us About Future Equity Returns?

Yuhang Xing, Xiaoyan Zhang, Rui Zhao · Journal of Financial and Quantitative Analysis · 2010 · 733 citations

Volatility Modeling, Financial Economics, Asset Pricing +11

Does Net Buying Pressure Affect the Shape of Implied Volatility Functions?

Nicolas P. B. Bollen, Robert E. Whaley · SSRN Electronic Journal · 2002 · 292 citations · Full text

Deviations from Put-Call Parity and Stock Return Predictability

Martijn Cremers, David Weinbaum · Journal of Financial and Quantitative Analysis · 2010 · 213 citations · Full text

Empirical Finance, Option Pricing, Financial Economics +14