Put-call parity violations and return predictability: Evidence from the 2008 short sale ban
Sign Up to like & getrecommendations! Published in 2019 at "Journal of Banking and Finance"
DOI: 10.2139/ssrn.1884119
Abstract: We show that the 2008 short-sale ban significantly enhanced the return predictability of put-call parity violations and attribute the significant increase in violations to stock over-valuation. The top quantile put-call parity violation portfolio under-performs the… read more here.
Keywords: return predictability; call parity; put call; ban ... See more keywords