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Beleif distortion near 52W high and low: evidence from Indian equity options market
(Wiley, 2023-06-28)
We examine investors' behavioral biases and preferences in the options market near 52-week high and low (52W-H/L) using Indian options market data. We document that as the stock price approaches 52W high (low), the skewness ...
Role of derivatives market in attenuating underreaction to left-tail risk
(Wiley, 2023-12-25)
The anomalous negative relationship between left-tail risk measures and future returns has recently attracted the attention of finance researchers. We examine the role of the derivatives market in attenuating left-tail ...