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dc.contributor.authorGarcia Ares, P
dc.contributor.authorFilippou, I
dc.contributor.authorAbhyankar, A
dc.contributor.authorHaykir, O
dc.date.accessioned2019-01-23T10:37:08Z
dc.date.issued2018-07-24
dc.description.abstractIn this paper we find that the decline in the momentum profitability is 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 option trading becomes expensive, there are more barriers to short selling and the short position offers lower returns. Our results are robust to exogenous changes in short selling due to Regulation SHO and are supported by other short-leg depended anomalies.en_GB
dc.identifier.doi10.2139/ssrn.3206873
dc.identifier.urihttp://hdl.handle.net/10871/35568
dc.language.isoenen_GB
dc.publisherSSRNen_GB
dc.rights© 2018 The Author(s)en_GB
dc.subjectMomentum returnsen_GB
dc.subjectstock option tradingen_GB
dc.subjectshort-sale constraintsen_GB
dc.titleOvercoming Arbitrage Limits: Option Trading and Momentum Returns (working paper)en_GB
dc.typeWorking Paperen_GB
dc.date.available2018-07-24en_GB
dc.date.available2019-01-23T10:37:08Z
pubs.notesNot knownen_GB
dc.descriptionThis is the author accepted manuscript. Available from SSRN via the DOI in this recorden_GB
dc.rights.urihttp://www.rioxx.net/licenses/all-rights-reserveden_GB
dcterms.dateAccepted2018-07-23
rioxxterms.versionAMen_GB
rioxxterms.licenseref.startdate2018-07-24
rioxxterms.typeWorking paperen_GB
refterms.dateFCD2019-01-23T10:25:26Z
refterms.versionFCDAM
refterms.dateFOA2019-01-23T10:37:11Z


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