Research

Working Papers

The Information in Option Strike Price Introductions [SSRN]

Abstract: I study the information content of option strike price introductions. Stocks with options introduced at strike prices above the prevailing maximum outperform those with strikes below the minimum by 4% over the following 12 months. This long-run return spread is not explained by stock-price momentum or other stock- and option-level predictors, but is larger when new options trade actively and informed trading proxies are high. The new high-leverage out-of-the-money options attract abnormal demand and earn long-run returns. Option introductions are difficult to predict using machine learning, suggesting that new options allow investors to incorporate stock-specific information through additional, cost-effective leverage.
- Inquire UK/Europe Spring Residential 2026, Best Paper Award
- FMA 2025 Options & Derivatives, Semifinalist for the Best Paper Award
- Presentations: INQUIRE UK Spring Residential 2026, E(astern)FA 2026, FMA Derivatives & Volatility 2025, NFA 2025, FMA 2025, Texas Christian University, Florida State University, Nanyang Technological University Singapore, University of Cincinnati, Boston College Brown Bag, Boston College Eagle Finance Conference 2024

Narrative Momentum (with Xiaoxia Lou, Gideon Ozik, and Ronnie Sadka) [SSRN]

Abstract: This paper advances that investors underreact to economic narratives. Using real-time-collected articles from thousands of digital sources for over a decade, coverage intensities of roughly 350 narratives are quantified, and corresponding narrative-mimicking, long-short portfolios are constructed using stock narrative betas. Narrative-mimicking portfolios of recently rising narrative intensities outperform those of declining intensities by about 8% annually, controlling for standard risk factors. Neither stock nor factor price momentum explains narrative momentum, which is stronger for slowly trending narratives. Furthermore, analysts tend to underreact to narrative-sensitive stocks. Additional results highlight the importance of considering the discourse among sources beyond traditional, general media.
- Inquire Autumn Residential 2023, Best Paper Award
- IQAM Research Award 2024, 1st Prize
- PanAgora Crowell Prize 2024, Finalist
- Presentations: AFA 2025, NBER Summer Institute 2024: Big Data and High-Performance Computing for Financial Economics (*), Citi Quant Conference 2025 (*), Society of Quantitative Analysts Conference 2024 (*), 8th Annual Global Quantitative and Macro Investment Conference, 15th Annual Hedge Fund Research Conference, 4th Frontiers of Factor Investing 2024, INQUIRE Autumn Residential 2023 (*), Chicago Quantitative Alliance conference Spring 2023 (*), FOME Forum (Nice) (*), State Street Research Retreat 2023 (*)

(*): Presented by co-authors

Sentiment (with Gideon Ozik, and Ronnie Sadka)

Demand (with Tommaso Tamburelli)