RESEARCH

PUBLICATIONS


Overcoming Arbitrage Limits: Option Trading and Momentum Returns. (2022)

with Abhay Abhyankar and Ilias Filippou.

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming.

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 […]

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WORKING PAPERS


No Max Pain, No Max Gain: Stock Return Predictability at Options Expiration.

with Ilias Filippou and Fernando Zapatero.

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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Betting on the Likelihood of a Short Squeeze.

with Ilias Filippou and Fernando Zapatero.

A growing body of literature argues that skewness-seeking is an optimal investment strategy under plausible conditions. Yet, the difficulty of estimating skewness leads many investors in this category to look for proxies, some of which […]

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Demand for Lotteries: the Choice Between Stocks and Options.

with Ilias Filippou and Fernando Zapatero.

We show that the availability of options to retail investors displaces lottery stocks. We also find that investors are willing to pay substantial premiums only for the lottery characteristics of out-of-the-money options. Moreover, […]

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Media Sentiment and the Cross-Section of Option Returns.

with Ilias Filippou.

We examine the cross-sectional predictive ability of media pessimism for delta-hedged equity option returns. We find that a long-short portfolio that buys options of stocks with low media pessimism while going short options attached to […]

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Value, Momentum and Market Timing

with Ilias Filippou.

We study firm-level characteristics that a manager would employ as signalling tools in order to time the market (i.e. repurchases and issues). Following the market timing framework, we develop a two-factor asset pricing model comprising […]

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Uncovering Dividend Growth Predictability: New Evidence from the Post-WW II Period

 with Abhay Abhyankar

We re-visit a puzzling result that in U.S. post-WW II data the dividend price ratio can predict aggregate returns but not dividend growth. We find that predictive regressions are sensitive to the method used to aggregate firm-level data. Using value […]

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Exploring the Anatomy of Firm Payouts: Who Pays, How Much and When?

We investigate the anatomy of corporate payouts — dividends and stock repurchases. Specifically, we use firm-level data to understand which firms drive the changing patterns of payouts over time and in the cross-section. Our work extends […]

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WORK IN PROGRESS



Mutual Fund Performance and Stock Mispricing

with  Ilias Filippou.

Mutual Funds Acting as Casinos.

 with Ilias Filippou and Fernando Zapatero.

On the Anomaly Concentration of Mutual Funds.

 with Ilias Filippou and Rafael Zambrana.

News and Mutual Funds.

 with Rafael Zambrana and Fernando Zapatero.

Business Uncertainty and Mutual Fund Performance.

 with Jose Maria Barrero and Felix Matthys.

The Information Content of Option Rollovers.