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Keywords: Information uncertainty
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Journal Articles
Review of Behavioral Finance (2022) 14 (3): 345–378.
Published: 11 March 2021
.... The option return predictability of CallMoney is stronger when stock price is further from its 52-weeks high, capital gains overhang is lower, and when information uncertainty of the underlying stock is higher. CallMoney also robustly and negatively predicts cross-sectional stock returns. Originality...

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