How Does Information Quality Affect Option Returns?
This study analyzes the impact of information quality on option returns. I find that firms with low-quality information have call option returns that are significantly lower than firms with high information quality. The findings hold in- and out-of-sample, over different time periods, and are ro...
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| Language: | en_ca |
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2013
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| Online Access: | http://hdl.handle.net/1807/44149 |