Etiqueta: News releases

• Media Sentiment and the Cross-Section of Option Returns

  with Ilias Filippou. Abstract. We examine the cross-sectional predictive ability of media pessimism for delta-hedged equity option returns. We find that a long-short portfolio that buys options of stocks with low media pessimism while going short options attached to high pessimism stocks, over the previous month, renders positive and statistically significant returns and alphas. Specifically, we…

  Equity option returns, Media sentiment, News releases, Option Trading