Assistant Professor of Finance
Instituto Tecnológico Autónomo de México (ITAM)
[COMING SOON] Mutual Fund Performance and Stock Mispricing. (2022) Download Presentation
with Ilias Filippou, Rafael Zambrana and Fernando Zapatero
[COMING SOON] Anomaly Intensity of Actively Managed Equity Mutual Funds. (2022) Download Presentation
with Ilias Filippou and Rafael Zambrana
[NEW] No Max Pain, No Max Gain: Stock Return Predictability at Options Expiration. (2022)
with Ilias Filippou and Fernando Zapatero
Abstract. Max Pain price is the strike price at which the total payoff of all options (calls and puts) written on a particular stock, and with the same expiration date, is the lowest. We construct a measure of (potential) Max Pain gain/loss, sort stock according to this measure […]
Overcoming Arbitrage Limits: Option Trading and Momentum Returns. (2022)
with Abhay Abhyankar and Ilias Filippou.
Journal of Financial and Quantitative Analysis (JFQA), Forthcoming.
Abstract. We find that the decline in momentum profitability is partly driven by option trading. Momentum profits arise from the short leg and therefore on barriers to short selling. We find strong evidence that the presence of stock options creates alternate avenues for short selling, augmenting the stock lending market, thus contributing to improved pricing efficiency. However, when options trading […]
Anomalies asset pricing changes in dividend payments Concentration dividend growth predictability Dividends earnings Equity option returns Limits to Arbitrage Lottery-payoffs lottery stocks Max Pain Media sentiment Momentum returns News releases Options Option Trading Payouts predictability of stock returns present-value model quintiles Repurchases short-sale constraints Short Squeeze stock option trading stock price clustering Stock Price Manipulation weighting of firm dividends