...Bei Chen; Quan Gan Purpose This paper investigates how the gambling measure captures market bubble events, and how it predicts stock return and option return. Design/methodology/approach This paper proposes a gambling activity measure by jointly considering open interest and moneyness of out...

...Marie-Hélène Gagnon; Gabriel J. Power Purpose – The purpose of this paper is to investigate and test for changes in investor risk aversion and the stochastic discount factor (SDF) using options data on the West Texas Intermediate crude oil futures contract during the 2007-2011 period. Design...

...Hassan Tanha; Michael Dempsey; Terrence Hallahan Purpose – The purpose of this paper is to understand that option pricing is the response of option implied volatility (IV) to macroeconomic announcements. Design/methodology/approach – The authors use high-frequency data on ASX SPI 200 index...