Research
Discover the latest research papers written by OptionMetrics,
our customers, and researchers worldwide leveraging
OptionMetrics data.
J. Qu: Is Corporate Governance Priced in the Option Market? Evidence from Shareholder Proposals
By exploiting the local randomness in close-call votes on governance-related shareholder proposals, this paper finds a negative effect of passing a governance proposal on firms’ ex-ante tail risk measured by the cost of option protection against downside tail risks, which ... Read More
P. Mason and S. Utke: Mark-to-Market (or Wealth) Taxation in the U.S.: Evidence from Options
Recent U.S. tax proposals under various names (e.g., wealth taxes, estate tax reform, etc.) center on mark-to-market (MTM) taxation, which eliminates investors’ ability to defer or avoid capital gains taxes. To provide insight on potential effects of these tax proposals, ... Read More
J. Cao, A. Goyal, S. Ke, and X. Zhan: Options Trading and Stock Price Informativeness
We find that single-name options trading increases the absolute level of information content of prices (stock price informativeness). We show causality by examining the impact of Penny Pilot Program, which exogenously increases the options trading volume of some options. We ... Read More
A. Langer and D. Lemoine: What Were the Odds? Estimating the Market’s Probability of Uncertain Events
An event study generates only a lower bound on the full effect of an event unless researchers know the probability that investors assigned to the event before it occurred. We develop two model-free methods for recovering the market’s priced-in probability ... Read More
F. Horvath: Arbitrage-Based Recovery
We develop a novel recovery theorem based on no-arbitrage principles. Our Arbitrage-Based Recovery Theorem does not require assuming time homogeneity of either the physical probabilities, the Arrow-Debreu prices, or the stochastic discount factor; and it requires the observation of Arrow-Debreu ... Read More
I. Lee, R. W. Renjie, P. Verwijmeren: How Do Options Add Value? Evidence from the Convertible Bond Market
This paper provides evidence that the availability of individual stock options adds value to security issuers. We focus on convertible bond issues because pricing convertible bonds requires essentially the same set of information necessary to price options. By exploiting the ... 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.