Do option traders on value and growth stocks react differently to new information?
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Volume (Year): 34 (2010)
Issue (Month): 3 (April)
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References listed on IDEAS
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- Liew, Jimmy & Vassalou, Maria, 2000. "Can book-to-market, size and momentum be risk factors that predict economic growth?," Journal of Financial Economics, Elsevier, vol. 57(2), pages 221-245, August.
- Fama, Eugene F & French, Kenneth R, 1992. " The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-65, June.
- Rafael La Porta & Josef Lakonishok & Andrei Shleifer & Robert Vishny, 1995.
"Good News for Value Stocks: Further Evidence on Market Efficiency,"
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5311, National Bureau of Economic Research, Inc.
- La Porta, Rafael, et al, 1997. " Good News for Value Stocks: Further Evidence on Market Efficiency," Journal of Finance, American Finance Association, vol. 52(2), pages 859-74, June.
- Heynen, Ronald & Kemna, Angelien & Vorst, Ton, 1994. "Analysis of the Term Structure of Implied Volatilities," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 29(01), pages 31-56, March.
- Fama, Eugene F & French, Kenneth R, 1996. " Multifactor Explanations of Asset Pricing Anomalies," Journal of Finance, American Finance Association, vol. 51(1), pages 55-84, March.
- Allen M. Poteshman, 2001. "Underreaction, Overreaction, and Increasing Misreaction to Information in the Options Market," Journal of Finance, American Finance Association, vol. 56(3), pages 851-876, 06.
- Stein, Jeremy, 1989. " Overreactions in the Options Market," Journal of Finance, American Finance Association, vol. 44(4), pages 1011-23, September.
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