Popular guide to options pricing and position sizing for quant traders In this second edition
of this bestselling book, Sinclair offers a quantitative model for measuring volatility in order to …

Prior work shows that both short sales and put options contain information about future stock
prices. In this study, we compare the return predictability in short sales to the return …

The paper examines the relationship between both individual and institutional investor
sentiment measures and the risk-neutral skewness (RNS) of seven stock index options …

We examine the information contained in option trading and short selling using a dynamic
VAR model. First, we address whether options and shorts are complements or substitutes …

This article models mergers as exchange options where acquirers offer stocks and/or cash
to target firms in exchange of acquiring some shareholding in target firms. Mergers analysed …

Purpose–The purpose of this paper is to investigate the connection between the accrual
quality and the growth/value characteristics (and their return premia) at firm level …

We propose a framework for constructing factor models for alpha streams. Our motivation is
threefold. 1) When the number of alphas is large, the sample covariance matrix is singular …

A detailed, one-stop guide for experienced options traders Positional Option Trading: An
Advanced Guide is a rigorous, professional-level guide on sophisticated techniques from …

The first chapter investigates how corporate governance influences firms' capital structure
behavior. Based on the premise that costs associated with deviations from the target capital …

This study analyzes the performance of the Dogs of Dow (DoD) investment strategy in Latin
American stock markets from 1995 to 2011 and determines if the performance varies on …