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General
OptionMetrics data is an essential component of many studies performed by both academia and practitioners. Below is a partial list of academic papers
that use OptionMetrics data:
OptionMetrics' White Papers
Papers that use IvyDB data
| » | V.V. Acharya and T.C. Johnson, "More Insiders, More Insider Trading: Evidence from Private Equity Buyouts," (Seminar paper, London Business School, November 2007). |
| » | A. Ali and M.A. Trombley, "Short Sales Constraints and Momentum in Stock Returns," Journal of Business Finance & Accounting, 19 May 2006, 10.1111/j.1468-5957.2006.00616.x. |
| » | M. Ammann, D. Skovmand, and M. Verhofen, "Implied and Realized Volatility in the Cross-Section of Equity Options," (Working paper, University of St. Gallen, University of Aarhus, 1 November 2008). |
| » | A.B. Ashcraft and J.A.C. Santos, "Has the development of the structured credit market affected the cost of corporate debt?" Federal Reserve Bank of New York Staff Reports 290, July 2007. |
| » | S. Asmussen, D. Madan, M. Pistorius, "Pricing Equity Default Swaps under an approximation to the CGMY Levy Model," in the Cornell University Library arXiv, arxiv.org, 2 February 2008. |
| » | F. Audrino and D. Colangelo, "Forecasting Implied Volatility Surfaces," (Working paper, University of St. Gallen, May 2008). |
| » | A.J. Auerbach and K.A. Hassett, "Dividend Taxes and Firm Valuation: New Evidence," American Economic Review, May 2006, 10.1257/000282806777212495. |
| » | C. Bajlum and Peter Tind Larsen, "Capital Structure Arbitrage: Model Choice and Volatility Calibration," (Copenhagen Business School and University of Aarhus, 13 July 2008). |
| » | G. Bakshi and L. Wu, "Investor Irrationality and the Nasdaq Bubble," (Paper presented at the meeting of the Western Finance Association, Keystone, Colorado, 22 June 2006). |
| » | E. Bartov, P. Mohanram, and D. Nissim, "Managerial discretion and the economic determinants of the disclosed volatility parameter for valuing ESOs," Review of Accounting Studies 12, no. 1 (9 February 2007): 155-179, 10.1007/s11142-006-9024-x. |
| » | R. Battalio and P. Schultz, "Options and the Bubble," The Journal of Finance 61, no. 5 (October 2006): 2071-2102, 10.1111/j.1540-6261.2006.01051.x. |
| » | E. Bayraktar, "Pricing Options on Defaultable Stocks," in the Cornell University Library arXiv, arxiv.org, 21 December 2007. |
| » | A. Berndt and A. Ostrovnaya, "Information Flow Between Credit Default Swap, Option and Equity Markets," (Seminar paper, Carnegie Mellon University, 15 March 2007). |
| » | A. Berndt, A. A. Lookman, and I. Obreja, "Default Risk Premia and Asset Returns," (Working paper, Carnegie Mellon University, 18 December 2006). |
| » | S.T.Bharath and T. Shumway, "Forecasting Default with the KMV-Merton Model," (Seminar paper, University of Michigan, 26 April 2005). |
| » | M.J. Brennan, X. Liu, Y. Xia, "Option Pricing Kernels and the ICAPM," University of California eScholarship Repository (29 June 2005), http://repositories.cdlib.org/anderson/fin/16-05. |
| » | P. Brous, U. Ince, and I. Popova, "Volatility Forecasting and Liquidity: Large Sample Evidence Using Individual Stocks," (Paper presented at the annual meeting of the Financial Management Association International, Grapevine, Texas, 8 - 11 October 2008). |
| » | A. Buss and G. Vilkov, “Option-Implied Correlation and Factor Betas Revisited,” (University of Frankfurt, 9 February 2010). |
| » | A. Buss, C. Schlag, and G. Vilkov, "CAPM with Option-Implied Betas: Another Rescue Attempt," (Working paper, Goethe University, 14 February 2010). |
| » | J. Cao and B. Han, "Option Returns and Individual Stock
Volatility,” (University of Hong Kong and University of Texas, November 2009). |
| » | M. Cao and J. Wei, "Option Market Liquidity: Commonality and Other Characteristics,” (York University and University of Toronto, January 10 2008). |
| » | C. Cao, F. Yu, and Z. Zhong, "The Information Content of Option-Implied Volatility for Credit Default Swap Valuation," (Working paper no. 2007-08, FDIC Center for Financial Research, 15 March 2007). |
| » | G. Capelle-Blancard and M. Chaudhury, "Spider Options and the S&P 500 Index Options Market," (Working paper, Universite Paris and McGill University, 5 February 2007). |
| » | P. Carr and L. Wu, "A Simple Robust Link between American Puts and Credit Insurance," (Working paper, Bloomberg LP, New York University, and Baruch College, 7 May 2008). |
| » | P. Carr and L. Wu, "Static Hedging of Standard Options," (Working paper, New York University and Fordham University, 26 November 2002). |
| » | P. Carr and L. Wu, "Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation," (Working paper, Bloomberg LP, New York University, and Baruch College, 31 March 2005). |
| » | P. Carr and L. Wu, "Variance Risk Premia," (Working seminar paper, Bloomberg LP, Courant Institute, and Baruch College, 21 March 2005). |
| » | B. Chang, P. Christoffersen, et al., "Option-Implied Measures of Equity Risk," (Cirano, August 2010). |
| » | H.S. Choi and N. Jayaraman, "Is Reversal of Large Stock-Price Declines Caused by Overreaction or Information Asymmetry: Evidence from Stock and Option Markets," (Seminar paper, Georgia Tech Finance Workshop, June 2006). |
| » | J. Conrad, R.F. Dittmar, and E. Ghysels, "Skewness and the Bubble," (Working conference paper, University of North Carolina and University of Michigan, 16 April 2007). |
| » | G.M. Constantinides, J.C. Jackwerth, and S. Perrakis, "Mispricing of S&P 500 Index Options," (Working paper, University of Chicago, University of Konstanz, and Concordia University, 10 November 2006). |
| » | M. Cremers and D. Weinbaum, "Deviations from Put-Call Parity and Stock Return Predictability," (Paper presented at the European Conference of the Financial Management Association, Prague, 4 - 6 June 2008). |
| » | M. Cremers, J. Driessen, and P. Maenhout, "Explaining the Level of Credit Spreads: Option-Implied Jump Risk Premia in a Firm Value Model," (Working paper, Yale School of Management, University of Amsterdam Business School, and INSEAD, October 2006). |
| » | M. Cremers, J. Driessen, P. Maenhout, and D. Weinbaum, "Individual Stock-Option Prices and Credit Spreads," (Research paper, INSEAD Business School, January 2006). |
| » | Z. Da, and E. Schaumburg, "The Factor Structure of Realized Volatility and its Implications for Option Pricing," (Working paper, University of Notre Dame and Northwestern University, November 2006). |
| » | K. Danquah, S. Kasera, B. Lee, and S. Ung, "Local Volatility Calibration Using the ‘Most Likely Path,'" (Seminar paper, New York University, 19 December 2006). |
| » | S. De Wachter, "Simple Option Pricing and the Leverage Effect," (Working paper, University of Oxford, December 2005). |
| » | V. Di Pietro and G. Vainberg, "Systematic Variance Risk and Firm Characteristics in the Equity Options Market," (Northwestern University and McGill University, December 2006). |
| » | D. Diavatopoulos, J. Doran, and D. Peterson "The Information Content in Implied Idiosyncratic Volatility and the Cross-Section of Stock Returns: Evidence from the Option Markets,” Journal of Futures Markets, Forthcoming.. |
| » | N. Dolgova, "Hedging of Barrier Options," (MAS Thesis, University ETH Zurich, 22 December 2006). |
| » | J.S. Doran, D. Jiang, and D.R. Peterson, "Short-Sale Constraints and the Non-January Idiosyncratic Volatility Puzzle," Munich Personal RePEc Archive, no. 4995, posted 7 November 2007), http://mpra.ub.uni-muenchen.de/4995. |
| » | J. Driessen, P. Maenhout, and G. Vilkov, "The Price of Correlation Risk: Evidence from Equity Options," Journal of Finance, Forthcoming, June 2010. |
| » | J. Duarte, X. Lou and R. Sadka, "Option-Based Hedging of Liquidity Costs in Short Selling," (Working paper, University of Washington, 21 October 2005). |
| » | A. Dubinsky and M. Johannes, "Fundamental Uncertainty, Earnings Announcements and Equity Options," (Working paper, Columbia University Graduate School of Business, March 2006). |
| » | D. Duffie, R. Liu, and A.M. Poteshman, "How American Put Options Are Exercised," (Research paper, Stanford University and University of Illinois at Urbana-Champaign, 9 June 2005). |
| » | E. Eberlein and D.B. Madan, "Sato Processes and the Valuation of Structured Products," (Working paper, University of Freiburg and Robert H. Smith School of Business, 3 July 2007). |
| » | R. Engle and A. Mistry, "Priced Risk and Asymmetric Volatility in the Cross-Section of Skewness," (Seminar paper, New York University, 12 August 2007). |
| » | B. Eraker, "The Performance of Model Based Option Trading Strategies," (Working paper, Duke University, July 2007). |
| » | R.B. Evans, C.C. Geczy, D.K. Musto, and A.V. Reed, "Failure is an Option: Impediments to Short Selling and Options Prices," (Seminar paper, Boston College, University of Pennsylvania, and University of North Carolina, 7 December 2005). |
| » | J. Fan and L. Mancini, "Option Pricing with Aggregation of Physical Models and Nonparametric Statistical Learning," (Swiss Finance Institute, 9 December 2006). |
| » | P. Gagliardini, C. Gourieroux, and E. Renault, "Efficient Derivative Pricing by Extended Method of Moments," (Working paper, Swiss Finance Institute, University of Toronto, and University of North Carolina, May 2007). |
| » | N. Garleanu, L.H. Pedersen and A.M. Poteshman, "Demand-Based Option Pricing," (Working paper, New York University, University of Pennsylvania, and University of Illinois at Urbana-Champaign, 22 February 2005). |
| » | A. Goyal and A. Saretto, "Option Returns and Volatility Mispricing," (Emory University and Purdue University, February 2007). |
| » | N. Halov and F. Heider, "Capital Structure, Risk and Asymmetric Information," (Seminar paper, Centre for Financial Analysis and Policy, University of Cambridge, 29 April 2005). |
| » | D. Horn, E. Schneider, and G. Vilkov, "Hedging Options in the Presence of Microstructural Noise," (Working paper, Goethe University-Frankfurt, 26 September 2007). |
| » | M. Jeannin, G. Iori, and D. Samuel, "Modeling Stock Pinning," Discussion Paper Series, no. 06/04, City University, London, 30 May 2006. |
| » | N. Kapadia and E. Szado, "The Risk and Return Characteristics of the Buy Write Strategy on the Russell 2000 Index," (Center for International Securities and Derivatives Markets, University of Massachussetts, January 2007). |
| » | W. Kim, "Analyst Recommendations and Option Market Reactions," Journal of the Korean Finance Assoication, 21 January 2008. |
| » | L. Kristesen, C.B. Kristensen, and N. Sorensen, "Empirisk test af Black-Scholes til prisfastsaettelse af amerikanske call-optioner," (Seminar paper, Arhus Universitet, 20 April 2006). |
| » | M. le Roux, "A Long-Term Model of the Dynamics of the S&P500 Implied Volatility Surface," North American Actuarial Journal 11, no. 4 (October 2007). |
| » | A. Le, "Separating the Components of Default Risk: A Derivative-Based Approach," (Working paper, New York University, 16 January 2007). |
| » | E. Maberly, R. Pierce, and P. Catania, "Threshold Levels, Strike Price Grid and Other Market Microstructure Issues Associated with Exchange Traded Equity Options," The Journal of Futures Markets, Forthcoming. |
| » | V.H. Martinez and I. Rosu, "The Success Probability and Synergies of a Tender Offer via Stock and Option Prices," (Paper, University of Chicago and Baruch College, November 2005). |
| » | J. McDowell, "A Look at the Market's Reaction to the Announcements of SEC Investigations," (Thesis, New York University, 1 April 2005). |
| » | S.X. Ni, J. Pan, and A.M. Poteshman, "The Information in Option Volume for Future Stock Volatility," (Seminar paper, University of Illinois Department of Finance, 30 August 2005). |
| » | E. Ofek, M. Richardson, and R.F. Whitelaw, "Limited Arbitrage and Short Sales Restrictions: Evidence from the Options Markets," Journal of Financial Economics, 29 May 2003, 10.1016/j.jfineco.2003.05.008. |
| » | J. Pan and A.M. Poteshman, "The Information in Option Volume for Stock Prices," (Seminar paper, MIT Sloan School of Business and University of Illinois at Urbana-Champaign, 13 January 2003). |
| » | L. Pastor and P. Veronesi, "Was there a Nasdaq bubble in the late 1990's?" Journal of Financial Economics, 18 May 2005. |
| » | Y. Plyakha and G.Vilkov, “Portfolio Policies with Stock Options,” (Goethe University Frankfurt, 8 May 2008). |
| » | R. Popovic and D. Goldsman, "An Examination of Forward Volatility" (Paper presented at the Winter Simulation Conference, 8 December 2004), 10.1109/WSC.2004.1371505. |
| » | Z. Rehman and G.Vilkov, “Option-Based Sentiment for Portfolio Decisions,” (INSEAD and Goethe Univeristy Frankfurt, 1 February 2010). |
| » | P. Santa-Clara and A. Saretto, "Option Strategies: Good Deals and Margin Calls," (Working paper, UCLA, November 2004). |
| » | P. Santa-Clara and S. Yan, "Crashes, Volatility, and the Equity Premium: Lessons from S&P500 Options," (Working paper, Universidade Nova de Lisboa and University of South Carolina, May 2008). |
| » | A. Saretto, "Option Returns and the Cross-Sectional Predictability of Implied Volatility," (Seminar paper, Purdue University, November 2005). |
| » | R. Sen, "Modeling the Stock Price Process as a Continuous Time Jump Process," (PhD diss., University of Chicago, June 2004). |
| » | M. Serban, J. Lehoczky, and D. Seppi, "Cross-Sectional Stock Option Pricing and Factor Models of Returns,” (Paper presented at the annual meeting of the AFA, San Francisco, January 2010). |
| » | E. Szado and H. Kazemi, "Collaring the Cube: Protection Options for a QQQ ETF Portfolio," (Working paper, April 2008). |
| » | D.Y. Tang and H. Yan, "Liquidity and Credit Default Swap Spreads," (Working paper, Kennesaw State University, University of Texas, and SEC, 10 January 2007). |
| » | Y. Tang, "Essays on Credit Risk," (PhD diss., University of Texas at Austin, December 2005). |
| » | R. Tarantino, "Arbitrage and Implied Price Relationships among the S&P500 Cash Index, SPDRs, and Futures," (Honors thesis, New York University, May 2004). |
| » | S. Taylor, P. Yadav and Y. Zhang, "Cross-Sectional Analysis of Risk-Neutral Skewness," (Paper presented at the annual meeting of the European Financial Management Association, Athens, January 2008). |
| » | S.J. Taylor, P.K Yadav, and Y. Zhang, "The Information Content of Implied Volatilities and Model-free Volatility Expectations: Evidence from Options Written on Individual Stocks," (Paper presented at the annual meeting of the Financial Management Association International, Grapevine, Texas, 8 - 11 October 2008). |
| » | G. Vilkov, "Variance Risk Premium Demystified," (Working paper, Goethe University, 8 May 2008). |
| » | J. Wolfers and E. Zitzewitz, "Interpreting Prediction Market Prices as Probabilities," (Working paper, Federal Reserve Bank of San Francisco, April 2006). |
| » | S. Xiaoyan Ni, J. Pan, A.M. Poteshman, "Volatility Information Trading in the Option Market." The American Finance Association, Forthcoming. |
| » | S. Xiaoyan Ni, N.D. Pearson, and A.M. Poteshman, "Stock Price Clustering on Option Expiration Dates." Journal of Financial Economics 78 (3 May 2005): 49 - 87. |
| » | Y. Xing, X. Zhang, and R. Zhao, "What Does Individual Option Volatility Smirk Tell Us About Future Equity Returns?” (Paper presented at the annual meeting of the AFA, San Francisco, January 2010). |
| » | X. Zhou, "Information, Liquidity and Corporate Yield Spreads." (Paper presented at the annual meeting of the American Economic Association, Chicago, IL, January 2007). |
| » | Y. Zhou, "Pricing Individual Stock Options on Firms with Leverage," (Seminar paper, Anderson Graduate School of Management at UCLA, 20 November 2007). |
| » | E. Zitzewitz, "Price Discovery among the Punters: Using New Financial Betting Markets to Predict Intraday Volatility," (Working paper, Stanford University, July 2006). |
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