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Investor Sentiment and Option Prices. (2008). han, bing.
In: Review of Financial Studies.
RePEc:oup:rfinst:v:21:y:2008:i:1:p:387-414.

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  4. Equity premium prediction: The role of information from the options market. (2023). Voukelatos, Nikolaos ; Panopoulou, Ekaterini ; Apergis, Iraklis ; Alexandridis, Antonios K.
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  5. Risk appetite and option prices: Evidence from the Chinese SSE50 options market. (2023). Sui, Cong ; Wang, Shouyang ; Liu, Qing.
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  7. Disentangling Sentiment from Cyclicality in Firm Capital Structure. (2023). Lambe, Brendan J ; Almaghyereh, Aktham I ; O'Sullivan, Jennifer A ; Alzoubi, Haitham A.
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  8. Common Firm-level Investor Fears: Evidence from Equity Options. (2023). Baruník, Jozef ; Ellington, Michael ; Bevilacqua, Mattia.
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  9. Why are the prices of European?style derivatives greater than the prices of American?style derivatives?. (2022). Luo, Xingguo ; Zhao, Jingyu ; Jin, Xuejun.
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  10. Lottery and bubble stocks and the cross?section of option?implied tail risks. (2022). Varma, Jayanth R ; Saurav, Sumit ; Agarwalla, Sobhesh Kumar.
    In: Journal of Futures Markets.
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  11. Characterizing implied volatility functions from agricultural options markets. (2022). Adjemian, Michael K ; Thomsen, Michael R ; McKenzie, Andrew M.
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  13. Does the world smile together? A network analysis of global index option implied volatilities. (2022). Tang, Jing ; Ryu, Doojin ; Han, Qian ; Chen, Jing.
    In: Journal of International Financial Markets, Institutions and Money.
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  14. Media-expressed tone, option characteristics, and stock return predictability. (2022). Fengler, Matthias ; Liu, Yanchu ; Hardle, Wolfgang Karl ; Chen, Cathy Yi-Hsuan.
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    In: Journal of Futures Markets.
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  18. Estimating real?world probabilities: A forward?looking behavioral framework. (2021). Crisostomo, Ricardo .
    In: Journal of Futures Markets.
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  19. What Can explain catering of dividend? Environment information and investor sentiment. (2021). Mondher, Kouki ; Bilel, Hadfi.
    In: Journal of Economics and Finance.
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  20. The joint cross section of stocks and options. (2021). Subrahmanyam, Avanidhar ; Muravyev, Dmitriy ; Kurov, Alexander ; Chordia, Tarun.
    In: Management Science.
    RePEc:inm:ormnsc:v:67:y:2021:i:3:p:1758-1778.

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  21. The SKEW index: extracting what has been left. (2021). Tunaru, Radu ; Bevilacqua, Mattia.
    In: LSE Research Online Documents on Economics.
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  22. No country for old distributions? On the comparison of implied option parameters between the Brownian motion and variance gamma process. (2021). Rathgeber, Andreas W ; Stadler, Johannes ; Ulze, Markus.
    In: The Quarterly Review of Economics and Finance.
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  23. Mispricing, short-sale constraints, and the cross-section of option returns. (2021). Tayal, Jitendra ; Ramachandran, Lakshmi Shankar.
    In: Journal of Financial Economics.
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  24. The effect of time-induced stress on financial decision making in real markets: The case of traffic congestion. (2021). Kliger, Doron ; Gelman, Sergey.
    In: Journal of Economic Behavior & Organization.
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  25. The SKEW index: Extracting what has been left. (2021). Tunaru, Radu ; Bevilacqua, Mattia.
    In: Journal of Financial Stability.
    RePEc:eee:finsta:v:53:y:2021:i:c:s1572308920301194.

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  26. Sentiment Trading and Hedge Fund Returns. (2021). han, bing ; Chen, Yong ; Pan, Jing.
    In: Journal of Finance.
    RePEc:bla:jfinan:v:76:y:2021:i:4:p:2001-2033.

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  27. Firm-level R&D after periods of intense technological innovation: the role of investor sentiment. (2021). Carl, Matthew ; Aramonte, Sirio.
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  28. Data-driven Hedging of Stock Index Options via Deep Learning. (2021). Li, Lingfei ; Chen, Jie.
    In: Papers.
    RePEc:arx:papers:2111.03477.

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  29. Sentiment and its asymmetric effect on housing returns. (2020). Aroul, Ramya Rajajagadeesan ; Sabherwal, Sanjiv ; Saydometov, Sergiy.
    In: Review of Financial Economics.
    RePEc:wly:revfec:v:38:y:2020:i:4:p:580-600.

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  30. A comparison of conditional predictive ability of implied volatility and realized measures in forecasting volatility. (2020). Ai, Chunrong ; Shi, Yanlong ; Ying, Tingting.
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:39:y:2020:i:7:p:1025-1034.

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    In: Journal for Economic Forecasting.
    RePEc:rjr:romjef:v::y:2020:i:4:p:33-46.

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  32. LIMITS OF ARBITRAGE, RISK-NEUTRAL SKEWNESS, AND INVESTOR SENTIMENT. (2020). Chang, Bi-Juan ; Feng, Shih-Ping .
    In: The International Journal of Business and Finance Research.
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  33. Asymmetric network connectedness of fears. (2020). Baruník, Jozef ; Tunaru, Radu ; Bevilacqua, Mattia ; Barunik, Jozef.
    In: LSE Research Online Documents on Economics.
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  34. The tail dependence structure between investor sentiment and commodity markets. (2020). Abdoh, Hussein ; Maghyereh, Aktham.
    In: Resources Policy.
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  35. The surface of implied firm’s asset volatility. (2020). Silaghi, Florina ; Lovreta, Lidija.
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  36. Macroeconomic uncertainty, the option to wait and IPO issue cycles. (2020). Thanh, Binh Nguyen.
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  37. Excess co-movement of agricultural futures prices: Perspective from contagious investor sentiment. (2020). Huang, Jialiang ; Zhou, Liyun.
    In: The North American Journal of Economics and Finance.
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  38. The effect of market sentiment and information asymmetry on option pricing. (2020). Nobanee, Haitham ; Eleuch, Hichem ; ben Hamad, Salah ; Zghal, Imen.
    In: The North American Journal of Economics and Finance.
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  39. Comparative empirical study of binomial call-option pricing methods using S&P 500 index data. (2020). Herbon, Avi ; Shvimer, Yossi.
    In: The North American Journal of Economics and Finance.
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  40. Low‐Risk Anomalies?. (2020). Zechner, Josef ; Wagner, Christian ; Schneider, Paul.
    In: Journal of Finance.
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  41. Assessing the Vulnerability to Price Spikes in Agricultural Commodity Markets. (2020). Sarris, Alexandros ; Dotsis, George ; Triantafyllou, Athanasios.
    In: Journal of Agricultural Economics.
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  42. Option trading after the opening bell and intraday stock return predictability. (2020). Fodor, Andy ; Bergsma, Kelley ; Tayal, Jitendra ; Singal, Vijay.
    In: Financial Management.
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  43. Media-expressed tone, Option Characteristics, and Stock Return Predictability. (2019). Liu, Yanchu ; Hardle, Wolfgang Karl ; Fengler, Matthias R ; Chen, Cathy Yi-Hsuan.
    In: IRTG 1792 Discussion Papers.
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  44. National culture effects on stock market volatility level. (2019). Liu, Wei-Han.
    In: Empirical Economics.
    RePEc:spr:empeco:v:57:y:2019:i:4:d:10.1007_s00181-018-1502-z.

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  45. European option pricing under cumulative prospect theory with constant relative sensitivity probability weighting functions. (2019). Nardon, Martina ; Pianca, Paolo.
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  46. Investor Sentiment as a Predictor of Market Returns. (2019). Zhang, Peng ; Kaivanto, Kim.
    In: Working Papers.
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  47. Is trading in the shortest-term index options profitable?. (2019). Wu, Tu-Cheng ; Shiu, Yung-Ming ; Pan, Ging-Ginq.
    In: Review of Derivatives Research.
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  48. Informed Options Trading Prior to Takeover Announcements: Insider Trading?. (2019). Subrahmanyam, Marti G ; Brenner, Menachem ; Augustin, Patrick.
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  49. Price discovery in the price disagreement between equity and option markets: Evidence from SSE ETF50 options of China. (2019). Lung, Peter ; Hughen, Christopher J ; Qiu, QI ; Liu, Dehong .
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  50. Will land development time restriction reduce land price? The perspective of American call options. (2019). Wu, Xingyi ; Wang, Han ; Nie, Xin.
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  51. Put-call parity violations and return predictability: Evidence from the 2008 short sale ban. (2019). Rompolis, Leonidas S ; Nishiotis, George P.
    In: Journal of Banking & Finance.
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  52. Jumps in option prices and their determinants: Real-time evidence from the E-mini S&P 500 options market. (2019). Skiadopoulos, George ; Neumann, Michael ; Konstantinidi, Eirini ; Kapetanios, George.
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  53. BERT-based Financial Sentiment Index and LSTM-based Stock Return Predictability. (2019). Xu, Yabo ; Wu, QI ; Li, Duan ; Mou, Hao ; Huang, Xin ; Git, Joshua Zoen.
    In: Papers.
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  54. Textual Sentiment, Option Characteristics, and Stock Return Predictability. (2018). Liu, Yanchu ; Hardle, Wolfgang Karl ; Fengler, Matthias R ; Chen, Cathy Yi-Hsuan.
    In: IRTG 1792 Discussion Papers.
    RePEc:zbw:irtgdp:2018023.

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  55. The Relationship between Hedge Fund Performance and Stock Market Sentiment. (2018). Zheng, Yao ; Osmer, Eric.
    In: Review of Pacific Basin Financial Markets and Policies (RPBFMP).
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  56. Textual Sentiment, Option Characteristics, and Stock Return Predictability. (2018). Härdle, Wolfgang ; Fengler, Matthias ; Liu, Yanchu ; Hardle, Wolfgang Karl ; Chen, Cathy Yi-Hsuan.
    In: Economics Working Paper Series.
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  57. Does wall street affect main street? examining potential spillovers from investor stock market sentiment to personal consumption expenditures. (2018). Evans, Jocelyn ; Zarbabal, Khasadyahu.
    In: Journal of Economics and Finance.
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  58. Option implied ambiguity and its information content: Evidence from the subprime crisis. (2018). , Raymond ; Trigeorgis, Lenos ; Driouchi, Tarik.
    In: Annals of Operations Research.
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  59. The properties of a skewness index and its relation with volatility and returns. (2018). Muzzioli, Silvia ; Gambarelli, Luca ; Elyasiani, Elyas.
    In: Department of Economics.
    RePEc:mod:depeco:0133.

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  60. The pricing kernel puzzle: survey and outlook. (2018). Jackwerth, Jens Carsten ; Cuesdeanu, Horatio.
    In: Annals of Finance.
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  61. Measurement of Investor Sentiment and Its Bi-Directional Contemporaneous and Lead–Lag Relationship with Returns: Evidence from Pakistan. (2018). Ahmad, Eatzaz ; Khan, Mehwish Aziz.
    In: Sustainability.
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  62. Investor sentiment and evaporating liquidity during the financial crisis. (2018). Chiu, Junmao ; Wu, Chih-Chiang ; Ho, Keng-Yu ; Chung, Huimin.
    In: International Review of Economics & Finance.
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  63. Risk factors and their associated risk premia: An empirical analysis of the crude oil market. (2018). Hain, Martin ; Unger, Nils ; Uhrig-Homburg, Marliese.
    In: Journal of Banking & Finance.
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  64. Crash risk and risk neutral densities. (2018). Chen, Ren-Raw ; Huang, Jeffrey ; Hsieh, Pei-Lin.
    In: Journal of Empirical Finance.
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  65. Lead–Lag Relationship Between Returns and Implied Moments: Evidence from KOSPI 200 Intraday Options Data. (2017). Kim, Sol ; Lee, Geul.
    In: Review of Pacific Basin Financial Markets and Policies (RPBFMP).
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  66. Fundamental and Financial Influences on the Co-movement of Oil and Gas prices. (2017). Sévi, Benoît ; Chevallier, Julien ; Sevi, Benoit ; le Pen, Yannick ; Bunn, Derek.
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  67. Option-implied expectations in commodity markets and monetary policy. (2017). Triantafyllou, Athanasios ; Dotsis, George.
    In: Journal of International Money and Finance.
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  68. Investor sentiment and country exchange traded funds: Does economic freedom matter?. (2017). Lee, Chien-Chiang ; Hsu, Yi-Chung ; Chen, Mei-Ping.
    In: The North American Journal of Economics and Finance.
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  69. Hitting SKEW for SIX. (2017). faff, robert ; Liu, Zhangxin.
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  70. What Drives Volatility Expectations in Grain and Oilseed Markets?. (2017). Robe, Michel ; Adjemian, Michael ; Wallen, Jonathan ; Bruno, Valentina.
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  71. Fundamental and Financial Influences on the Co-movement of Oil and Gas Prices. (2017). Sévi, Benoît ; Chevallier, Julien ; Sevi, Benoit ; Derek, Julien Chevallier .
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  72. Low risk anomalies?. (2016). Zechner, Josef ; Wagner, Christian ; Schneider, Paul.
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  73. Fear or greed? What does a skewness index measure?. (2016). Muzzioli, Silvia ; Gambarelli, Luca ; Elyasiani, Elyas.
    In: Department of Economics.
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  74. Forecasting and pricing powers of option-implied tree models: Tranquil and volatile market conditions. (2016). Elyasiani, Elyas ; Ruggieri, Alessio ; Muzzioli, Silvia.
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  75. Option pricing model with sentiment. (2016). Yang, Jianlei ; Gao, Bin.
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  76. Do investor sentiment, weather and catastrophe effects improve hedging performance? Evidence from the Taiwan options market. (2016). Yang, Chih-Yuan ; Chang, Chia-Chien ; Jhang, Ling-Jhen .
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  77. Nominal price illusion. (2016). Birru, Justin ; Wang, Baolian.
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  78. Bullish/bearish/neutral strategies under short sale restrictions. (2016). Bae, Kwangil ; Lee, Soonhee ; Kang, Jangkoo.
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  79. Jump and variance risk premia in the S&P 500. (2016). Prokopczuk, Marcel ; Simen, Chardin Wese .
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  80. Asymmetries of the intraday return-volatility relation. (2016). Tourani-Rad, Alireza ; Frijns, Bart ; Badshah, Ihsan ; Knif, Johan.
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  81. Risk-neutral skewness and market returns: The role of institutional investor sentiment in the futures market. (2016). Lee, Hsiu-Chuan ; Liao, Tzu-Hsiang ; Chen, Chen.
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  82. Counter-Credit-Risk Yield Spreads: A Puzzle in Chinas Corporate Bond Market. (2016). Luo, Jian ; Hu, May ; Ye, Xiaoxia .
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  83. TACTICAL ASSET ALLOCATION USING INVESTORS SENTIMENT. (2015). Kang, Hyoung-Goo ; Kim, Soo-Hyun.
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  84. Investor sentiment and the underperformance of technology firms initial public offerings. (2015). Saade, Samer .
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