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Investor Sentiment and Return Predictability of the Option to Stock Volume Ratio

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  • Jun Sik Kim
  • Da-Hea Kim
  • Sung Won Seo

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  • Jun Sik Kim & Da-Hea Kim & Sung Won Seo, 2017. "Investor Sentiment and Return Predictability of the Option to Stock Volume Ratio," Financial Management, Financial Management Association International, vol. 46(3), pages 767-796, September.
    • Handle: RePEc:bla:finmgt:v:46:y:2017:i:3:p:767-796
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    File URL: http://hdl.handle.net/10.1111/fima.2017.46.issue-3
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    Cited by:

    1. Qadan, Mahmoud & Aharon, David Y., 2019. "Can investor sentiment predict the size premium?," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 10-26.
    2. Kelley Bergsma & Andy Fodor & Vijay Singal & Jitendra Tayal, 2020. "Option trading after the opening bell and intraday stock return predictability," Financial Management, Financial Management Association International, vol. 49(3), pages 769-804, September.
    3. Ming‐Yu Liu, 2019. "Improving momentum strategies using residual returns and option‐implied information," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(4), pages 499-521, April.
    4. Li, Yulin, 2021. "Investor sentiment and sovereign bonds," Journal of International Money and Finance, Elsevier, vol. 115(C).
    5. Qadan, Mahmoud & Jacob, Maram, 2022. "The value premium and investors' appetite for risk," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 194-219.
    6. George D. Cashman & David M. Harrison & Hainan Sheng, 2021. "Option Trading and REIT Returns," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 49(1), pages 332-389, March.

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