Option price implied information and REIT returns

Jie Cao, Bing Han, Linjia Song, Xintong Zhan

Research output: Journal article publicationJournal articleAcademic researchpeer-review


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.

Original languageEnglish
Pages (from-to)13-28
Number of pages16
JournalJournal of Empirical Finance
Publication statusPublished - Mar 2023


  • Informed trading in options
  • Real estate investment trusts
  • Stock return predictability

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics


Dive into the research topics of 'Option price implied information and REIT returns'. Together they form a unique fingerprint.

Cite this