Research
Research
Shocks to CEO Compensation and Corporate Cash-Holding: Evidence From Stringent Environmental Regulations (Sole Author Paper)
Does the Behavior of Short-Lived Options Suggest Information Asymmetry? Signals from Open Interest and Volume Measures (With Jimmy Hilliard and Jitka Hilliard)
Selling Call Options to Robinhood Investors (With Dr. Jimmy Hilliard, Dr. Jitka Hilliard, and Dr. Matthew Flynn)
Abstract: We document predictability in the cross-section of delta-hedged equity options as a function of Robinhood user holdings. Returns to writing delta-neutral calls to retail traders are highly statistically and economically significant. Returns are robust to several controls, factor risk adjustment, and momentum. Returns originate from retail demand-driven option mispricing and subsequent overpayment for relative exposure to underlying stock volatility. Returns are more substantial in periods of high retail sentiment or concentration
Predict REIT returns using REIT options in different bins (With Dr. Justin D. Benefield and Jiachen Liu)
Abstract: Previous literature shows that REIT options’ trading volume negatively predicts future REIT returns. We confirm this conclusion with options data from Option Metrics and REITs data from Ziman REITs. Further, we proved that trading volumes of deep-in-the-money call options, deep-out-of-the-money put options, and deep-out-of-money call options have the strongest predictability among all moneyness subsets. With the CBOE option dataset, we showed that open-buy call options trading volume significantly positively predicts REIT return, while open-sell and close-sell call options trading volume significantly negatively predicts REIT return. The last part of the paper investigated the options trading volume price discovery reliability by looking at investors in different categories. Retail investors' trading volume tripled during the pandemic period and has more significance in predicting REIT return than institutional investors.