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dc.contributor.authorGuo, Songchan
dc.date.accessioned2019-05-13T19:42:14Z
dc.date.available2019-05-13T19:42:14Z
dc.identifier.urihttp://hdl.handle.net/10464/14116
dc.description.abstractThis study examines whether the idiosyncratic momentum strategy can generate excess returns following the emergence of traded options. Portfolios are formed based on past residuals of the Fama-French three factor model in idiosyncratic momentum, while those are formed based on past total returns in traditional momentum. We find that the idiosyncratic momentum profits show attenuation since options started trading in 1996. Our results show that momentum returns for stocks with options in idiosyncratic momentum are positive and significant for three, six, and twelve months following the formation date, while those for stocks with options in traditional momentum are insignificant or even turn to negative. We also find strong evidence that the enhanced information efficiency led by allowing short selling has more impact on traditional momentum returns than on idiosyncratic momentum returns. Overall, our results show that the idiosyncratic momentum strategy demonstrates an even bigger challenge to the conventional asset pricing literature.en_US
dc.language.isoengen_US
dc.publisherBrock Universityen_US
dc.subjectTraditional momentumen_US
dc.subjectidiosyncratic momentumen_US
dc.subjectstock option tradingen_US
dc.subjectshort sale constraintsen_US
dc.titleIdiosyncratic Momentum and Option Marketsen_US
dc.typeElectronic Thesis or Dissertationen_US
dc.degree.nameM.Sc. Managementen_US
dc.degree.levelMastersen_US
dc.contributor.departmentFaculty of Business Programsen_US
dc.degree.disciplineFaculty of Businessen_US


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