TY - JOUR
T1 - Leveraging a call-put ratio as a trading signal
AU - Houlihan, Patrick
AU - Creamer, Germán G.
N1 - Publisher Copyright:
© 2018, © 2018 Informa UK Limited, trading as Taylor & Francis Group.
PY - 2019/5/4
Y1 - 2019/5/4
N2 - We examine whether a put-call ratio, derived from a unique set of market data, can be used to predict directional moves in asset prices during various market conditions between March 2005 and December 2012. Our findings show: (1) specific market participant's options trading volume is a predecessor to asset price movements, and (2) portfolios based on the put-call ratio adjusted for four factors Carhart model and transaction costs exhibit abnormal excess returns.
AB - We examine whether a put-call ratio, derived from a unique set of market data, can be used to predict directional moves in asset prices during various market conditions between March 2005 and December 2012. Our findings show: (1) specific market participant's options trading volume is a predecessor to asset price movements, and (2) portfolios based on the put-call ratio adjusted for four factors Carhart model and transaction costs exhibit abnormal excess returns.
KW - Anomalies in prices
KW - Behavioral finance
KW - Financial forecasting
KW - Investment management
KW - Options
KW - Portfolio management
KW - Technical trading
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U2 - 10.1080/14697688.2018.1538563
DO - 10.1080/14697688.2018.1538563
M3 - Article
AN - SCOPUS:85057334794
SN - 1469-7688
VL - 19
SP - 763
EP - 777
JO - Quantitative Finance
JF - Quantitative Finance
IS - 5
ER -