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Applied Academic Research, May 2012
Full Report Deviations from Put-Call Parity and Earnings Announcement Returns—Information in option markets has stock return predictability. This paper examines …
Risk Parity Research Summary, May 2012
Full Report We analyze 3 papers in the “risk parity” series: “Leverage Aversion and Risk Parity” by Asness, Frazinni, and …
Applied Academic Research, April 2012
Full Report Exploiting Option Information in the Equity Market—Information diffusions between options and stocks can be used to predict stock …