Why Does the Option to Stock Volume Ratio Predict Stock Returns?

A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

Whitney K. Newey, Kenneth D. West · Econometrica · 1987 · 17.1K citations

Social Sciences, Economics, Econometrics +10

Illiquidity and Stock Returns II: Cross-Section and Time-Series Effects

Yakov Amihud · SSRN Electronic Journal · 2018 · 1.2K citations · Full text

Business, Economics, Finance +14

Deviations from Put-Call Parity and Stock Return Predictability

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

Business, Economics, Finance +17

Informational Content of Option Volume Prior to Takeovers

Charles Cao, Zhiwu Chen, John M. Griffin · The Journal of Business · 2005 · 170 citations · Full text

Business, Business Economics, Finance +17

Option Volume and Stock Prices: Evidence on Where Informed Traders Trade

David Easley, Maureen O’Hara, P. S. Srinivas · SSRN Electronic Journal · 1998 · 170 citations · Full text

Social Sciences, Economics, Finance +13