Pedro angel garcia ares

Recent Updates.

[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 […]

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 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 […]

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