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December Effect in Option Returns

https://doi.org/10.2139/ssrn.5121679
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Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1002/fut.3990130503openalex-snapshot
Seasonal effects in S&P 100 index option returns
inferredcites →https://doi.org/10.1016/j.jfineco.2009.01.001openalex-snapshot
Cross-section of option returns and volatility☆
inferredcites →https://doi.org/10.1016/j.jfineco.2012.05.017openalex-snapshot
Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options
inferredcites →https://doi.org/10.1016/j.jfineco.2012.11.010openalex-snapshot
Cross section of option returns and idiosyncratic stock volatility
inferredcites →https://doi.org/10.1016/j.jfineco.2018.12.006openalex-snapshot
Why do option returns change sign from day to night?
inferredcites →https://doi.org/10.1016/j.jfineco.2020.02.003openalex-snapshot
Mood beta and seasonalities in stock returns
inferredcites →https://doi.org/10.1016/j.jfineco.2020.03.009openalex-snapshot
The conditional expected market return
inferredcites →https://doi.org/10.1016/s0304-405x(01)00088-5openalex-snapshot
The jump-risk premia implicit in options: evidence from an integrated time-series study
inferredcites →https://doi.org/10.1093/rfs/6.2.327openalex-snapshot
A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
inferredcites →https://doi.org/10.1093/rfs/hhaa010openalex-snapshot
Options Trading Costs Are Lower than You Think
inferredcites →https://doi.org/10.1093/rfs/hhad017openalex-snapshot
Option Return Predictability with Machine Learning and Big Data
inferredcites →https://doi.org/10.1093/rfs/hhae087openalex-snapshot
Can Equity Option Returns Be Explained by a Factor Model? IPCA Says Yes
inferredcites →https://doi.org/10.1093/rfs/hhg002openalex-snapshot
Delta-Hedged Gains and the Negative Market Volatility Risk Premium
inferredcites →https://doi.org/10.1093/rfs/hhn038openalex-snapshot
Variance Risk Premiums
inferredcites →https://doi.org/10.1093/rfs/hhp005openalex-snapshot
Demand-Based Option Pricing
inferredcites →https://doi.org/10.1093/rfs/hhp008openalex-snapshot
Expected Stock Returns and Variance Risk Premia
inferredcites →https://doi.org/10.1093/rfs/hhx113openalex-snapshot
Illiquidity Premia in the Equity Options Market
inferredcites →https://doi.org/10.1093/rfs/hhy060openalex-snapshot
Option Pricing of Earnings Announcement Risks
inferredcites →https://doi.org/10.1093/rfs/hhz075openalex-snapshot
A Bound on Expected Stock Returns
inferredcites →https://doi.org/10.1111/0022-1082.00348openalex-snapshot
Underreaction, Overreaction, and Increasing Misreaction to Information in the Options Market
inferredcites →https://doi.org/10.1111/1475-679x.12413openalex-snapshot
Measuring Risk Information
inferredcites →https://doi.org/10.1111/fire.12310openalex-snapshot
Option Trading and Returns versus the 52-Week High and Low
inferredcites →https://doi.org/10.1111/j.1475-679x.2006.00196.xopenalex-snapshot
Comparing the Post-Earnings Announcement Drift for Surprises Calculated from Analyst and Time Series Forecasts
inferredcites →https://doi.org/10.1111/j.1540-6261.1989.tb02635.xopenalex-snapshot
Overreactions in the Options Market
inferredcites →https://doi.org/10.1111/j.1540-6261.2009.01467.xopenalex-snapshot
The Price of Correlation Risk: Evidence from Equity Options
inferredcites →https://doi.org/10.1111/j.1540-6288.1989.tb00358.xopenalex-snapshot
Seasonality in the Option Market
inferredcites →https://doi.org/10.1111/jofi.12092openalex-snapshot
The Recovery Theorem
inferredcites →https://doi.org/10.1111/jofi.12220openalex-snapshot
Aggregate Jump and Volatility Risk in the Cross‐Section of Stock Returns
inferredcites →https://doi.org/10.1111/jofi.12603openalex-snapshot
Option Mispricing around Nontrading Periods
inferredcites →https://doi.org/10.1111/jofi.12778openalex-snapshot
What Is the Expected Return on a Stock?
inferredcites →https://doi.org/10.1111/jofi.13219openalex-snapshot
Firm‐Level Climate Change Exposure
inferredcites →https://doi.org/10.1111/jofi.13279openalex-snapshot
Option Momentum
inferredcites →https://doi.org/10.1111/jofi.13482openalex-snapshot
War Discourse and the Cross Section of Expected Stock Returns
inferredcites →https://doi.org/10.1146/annurev-financial-012820-033052openalex-snapshot
Informed Options Trading Before Corporate Events
inferredcites →https://doi.org/10.1287/mnsc.2022.4557openalex-snapshot
Investor Attention and Option Returns
inferredcites →https://doi.org/10.1287/mnsc.2023.4796openalex-snapshot
Default Risk and Option Returns
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