The impacts of asymmetric information and short sales on the illiquidity risk premium in the stock option market
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DOI: 10.1016/j.jbankfin.2018.07.005
Abstract: The illiquidity risk premium hypothesis implies the existence of a positive relation between illiquidity in the option market and option returns. Based on numerous studies within the extant literature examining the roles of informed traders… read more here.
Keywords: risk premium; illiquidity risk; illiquidity; option ... See more keywords