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Cited by 283

The DOI matches its Crossref record; 64 of the 64 references it cites were found in a registry or an index.

The Joint Cross Section of Stocks and Options

AN, BYEONG‐JE, ANG, ANDREW, BALI, TURAN G., CAKICI, NUSRET·2014·The Journal of Finance
DOI 10.1111/jofi.12181
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Abstract

Stocks with large increases in call (put) implied volatilities over the previous month tend to have high (low) future returns. Sorting stocks ranked into decile portfolios by past call implied volatilities produces spreads in average returns of approximately 1% per month, and the return differences persist up to six months. The cross section of stock returns also predicts option implied volatilities, with stocks with high past returns tending to have call and put option contracts that exhibit increases in implied volatility over the next month, but with decreasing realized volatility. These predictability patterns are consistent with rational models of informed trading.

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Crossref · 10.1111/jofi.12181

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Metadata

Authors
AN, B., ANG, A., BALI, T. G., & CAKICI, N.
Venue
The Journal of Finance
Publisher
Wiley
Published
2014-09-12
Volume
69
Issue
5
Pages
2279-2337
ISSN
  • 0022-1082 (ISSN-L)
  • 1540-6261
DOI
10.1111/jofi.12181
OpenAlex
W2628908734
Cited by
283
References
64
FWCI
34.48
Type
journal article
Language
en
Open access
closed

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CoChat. (2026). Citation check: The Joint Cross Section of Stocks and Options. https://app.cochat.ai/papers/10.1111/jofi.12181
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AN, B., ANG, A., BALI, T. G., & CAKICI, N. (2014). The Joint Cross Section of Stocks and Options. The Journal of Finance. https://doi.org/10.1111/jofi.12181

Data sources

Bibliographic data: Semantic Scholar, OpenAlex, Crossref.

Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.