Research
Discover the latest research papers written by OptionMetrics,
our customers, and researchers worldwide leveraging
OptionMetrics data.
L. Musleh, R. Ma, X. Yin and J. Zhao: Unveiling the Hidden: Options Trading and Corporate Social Responsibility
This paper separately investigates the relationships between the trading of a firm’s stock options and its CSR strengths and concerns. It confirms the benefits of options markets in fostering socially responsible corporate behaviors and revealing irresponsible behaviors. These effects of ... Read More
R. Fahlenbrach, M. Ko & R. Stulz: Bank payout policy, regulation, and politics
Bank payout policy is strongly affected by regulation and politics, especially for the largest banks. Banks, but not industrial firms, have consistently lower payouts in times of high regulation uncertainty and under democratic presidents. After the Global Financial Crisis, bank ... Read More
Y. Xie and D. Linders: Looking beyond Implied Correlation: Its adequacy, Nonlinear Dependence and Market Risk
We propose a new measure, the Implied Correlation Gap (ICG), to quantify the degree of the inadequacy of implied correlation to capture implied market dependence. We define ICG as the ratio between the implied correlation and an alternative implied dependence ... Read More
J. Chen, K. Keasey, D. Mascia & H. Ta: Stakeholder-Oriented Incentives in Managerial Compensation and Corporate Risk-Taking
Using a sample of S&P 500 firms with hand-collected information on the use and substantiveness of CSR managerial compensation from proxy statements between 2000 and 2018, we show that CSR incentives are associated with less risky policy choices and lower ... Read More
Z. Saba, R. Bhuyan & C. Cetin: Predicting Short-term Stock Returns from Weekly Options Activities: A Study of “Magnificent 7” Stocks and S&P 500 Index
This study examines the short-run predictive capacity of non-price indicators utilizing weekly options data from 2013 to 2022. Analyzing the empirical distributions of open interest and volume, we generate weekly and aggregated monthly return forecasts of "Magnificent 7" stocks and ... Read More
A. Anand and D. Muravyev: Does internalization impact quote competition?
Traditionally, market makers compete on bid and ask prices to attract marketable orders, facilitating price discovery and liquidity in markets. However, internalization mechanisms allow market makers an ex-post option to trade without posting competitive quotes. We study the effects of ... Read More
Highlighted Research
Reducing Risk through Multifactors: Implied Variance Asymmetry and Implied Beta
By G. DeSimone & O. Shih
February 15, 2024
OptionMetrics' latest study challenges conventional risk assessment using metrics like implied variance asymmetry (IVA), calculated as the measure of downside variance relative to upside variance, and option-implied beta strategies.