... to full attribution to the original publication and authors. The full terms of this licence maybe seen at Link to the terms of the CC BY 4.0 licence . Mutual funds Stock returns Return predictability Stock funds G14 G23 G2 Funding: This work was supported by the IREC...

... (2012) show the return predictability of option-to-stock (O/S) volume ratios – i.e. the total volume of put options and call options scaled by total underlying equity volume – based on their results that weekly O/S ratios are negatively related to next-week returns. Ge et al. (2016) also...

... also examine which ratio is better in predicting the future returns. The authors found that both option ratios showed the statistically significant predictability about future returns of the underlying stock and that the return predictability of the O/S ratio is more robust than that of the C/P ratio...

...Sun-Joong Yoon; Jun Sik Kim This study aims to examine the return predictability of variance risk premium, which is defined as the difference between risk-neutral variance and expected realized variance, on KOSPI 200 index returns. Although extant literature shows that variance risk premium...