Mathis Rudolf Werner Mörke

Mathis Rudolf Werner Mörke

Title

Dr.

Last Name

Mörke

First name

Mathis Rudolf Werner

Email

mathis.moerke@unisg.ch

Now showing 1 - 3 of 3

Option Return Predictability with Machine Learning and Big Data

(Oxford University Press, 2023)
Bali, Turan G.
;
Beckmeyer, Heiner
;
Mörke, Mathis Rudolf Werner
;
Weigert, Florian

Drawing upon more than 12 million observations over the period from 1996 to 2020, we nd that allowing for nonlinearities signi cantly increases the out-of-sample performance of option and stock characteristics in predicting future option returns. The nonlinear machine learning models generate statistically and economically sizeable pro ts in the long-short portfolios of equity options even after accounting for transaction costs. Although option-based characteristics are the most important standalone predictors, stock-based measures o er substantial incremental predictive power when considered alongside option-based characteristics. Finally, we provide compelling evidence that option return predictability is driven by informational frictions and option mispricing.

Type: journal article

Journal: Review of Financial Studies

DOI: 10.1093/rfs/hhad017

URI: https://www.alexandria.unisg.ch/handle/20.500.14171/107857

Scopus© Citations 2
Liquidity Provision to Leveraged ETFs and Equity Options Rebalancing Flows: Evidence from End-of-Day Stock Prices

( 2022)
Barbon, Andrea
;
Beckmeyer, Heiner
;
Buraschi, Andrea
;
Mörke, Mathis Rudolf Werner

Type: journal article

URI: https://www.alexandria.unisg.ch/handle/20.500.14171/109162
The Role of Leveraged ETFs and Option Market Imbalances on End-of-Day Price Dynamics

(SoF-HSG, 2021-09-17)
Barbon, Andrea
;
Buraschi, Andrea
;
Beckmeyer, Heiner
;
Mörke, Mathis Rudolf Werner

Type: working paper

Issue: 2021/14

URL: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3925725

URI: https://www.alexandria.unisg.ch/handle/20.500.14171/109971

Mathis Rudolf Werner Mörke

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