McGill Alert / Alerte de McGill

Updated: Thu, 07/18/2024 - 18:12

Gradual reopening continues on downtown campus. See Campus Public Safety website for details.

La réouverture graduelle du campus du centre-ville se poursuit. Complément d'information : Direction de la protection et de la prévention.


Professor Ruslan Goyenko awarded 2019 SSHRC Insight Grant

Ruslan Goyenko
Published: 10 October 2019

Ruslan Goyenko, Associate Professor in Finance, awarded 2019 SSHRC Insight Grant

Identifying Informed Trading in the Equity Options Market

The percentage difference between implied stock prices from options and actual stock prices, which we term the implied price difference (‘IPD’), predicts stock returns up to ten months into the future. IPD predicts stock returns even after including a number of other option-based variables, and among both the largest stocks as well as small cap stocks. Information about future stock returns comes from long-term, not short-term options. This suggests that informed investors who do not know when their longer-term information will be impounded in prices tend to trade long-term options to avoid expiration risk.



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