Information Leakage in Energy Derivatives around News Announcements
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- Ho, Steven Wei & Lauwers, Alexandre R., 2023. "Is There Smart Money? How Information in the Commodity Futures Market Is Priced into the Cross Section of Stock Returns with Delay," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 58(8), pages 3201-3230, December.
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Keywords
options; derivatives;NEP fields
This paper has been announced in the following NEP Reports:- NEP-ENE-2021-02-01 (Energy Economics)
- NEP-MST-2021-02-01 (Market Microstructure)
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