Abstract
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.
| Original language | English |
|---|---|
| Pages (from-to) | 763-777 |
| Number of pages | 15 |
| Journal | Quantitative Finance |
| Volume | 19 |
| Issue number | 5 |
| DOIs | |
| State | Published - 4 May 2019 |
Keywords
- Anomalies in prices
- Behavioral finance
- Financial forecasting
- Investment management
- Options
- Portfolio management
- Technical trading
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