@article{5fee07f0f7d7443baa03116a17da5b22,
title = "Option price implied information and REIT returns",
abstract = "We investigate stock return predictability by various option price-based measures using real estate investment trusts (REITs). REITs are more transparent and efficiently priced than general stocks, but REIT options are less liquid. We find that most of the option price-based measures do not significantly forecast REIT stock returns, but changes in option implied volatilities are robust and significant return predictors. We provide further evidence supporting the informed trading channel instead of price pressure effects as the explanation for this return predictability.",
keywords = "Informed trading in options, Real estate investment trusts, Stock return predictability",
author = "Jie Cao and Bing Han and Linjia Song and Xintong Zhan",
note = "Funding Information: We thank Kewei Hou (the editor), an anonymous referee, Ran Lu-Andrews, Sang Ik Seok, Eva Steiner, Desmond Tsang, Sheridan Titman, Chongyu Wang, and seminar participants at The Chinese University of Hong Kong for helpful discussions and useful suggestions. We have benefited from the comments of participants at the 2021 AREUEA-International Annual Conference and the 2022 ASSA-AREUEA Annual Conference. We acknowledge the Shinhan Investment Paper Award at the 17th Annual Conference of the Asia-Pacific Association of Derivatives. The work described in this paper was fully supported by three grants from the Research Grant Council of the Hong Kong Special Administrative Region, China (Project No. GRF 14500919, 14501720, 14500621). Han holds the TMX Chair in Capital Markets at Rotman School of Management, University of Toronto. Zhan gratefully acknowledges the financial support from the National Natural Science Foundation of China (Grant No. 72271061). All errors are our own. Funding Information: We thank Kewei Hou (the editor), an anonymous referee, Ran Lu-Andrews, Sang Ik Seok, Eva Steiner, Desmond Tsang, Sheridan Titman, Chongyu Wang, and seminar participants at The Chinese University of Hong Kong for helpful discussions and useful suggestions. We have benefited from the comments of participants at the 2021 AREUEA-International Annual Conference and the 2022 ASSA-AREUEA Annual Conference. We acknowledge the Shinhan Investment Paper Award at the 17th Annual Conference of the Asia-Pacific Association of Derivatives. The work described in this paper was fully supported by three grants from the Research Grant Council of the Hong Kong Special Administrative Region, China (Project No. GRF 14500919 , 14501720 , 14500621 ). Han holds the TMX Chair in Capital Markets at Rotman School of Management, University of Toronto. Zhan gratefully acknowledges the financial support from the National Natural Science Foundation of China (Grant No. 72271061 ). All errors are our own. Publisher Copyright: {\textcopyright} 2023 Elsevier B.V.",
year = "2023",
month = mar,
doi = "10.1016/j.jempfin.2022.12.013",
language = "English",
volume = "71",
pages = "13--28",
journal = "Journal of Empirical Finance",
issn = "0927-5398",
publisher = "Elsevier B.V.",
}