Finding 6331Emerging EvidenceValidation V0
The study finds this 'rollover effect' explains over half of abnormal option returns and all S&P 500 predictability, challenging behavioral bias theories, though its focus on U.S. markets may limit global applicability.
86%Confidence
1Evidence objects
v1Version
DraftStatus
Evidence trail
Supporting86% linkage confidence
The study finds this 'rollover effect' explains over half of abnormal option returns and all S&P 500 predictability, challenging behavioral bias theories, though its focus on U.S. markets may limit global applicability.
key_findings bullet 3 · key_findings
Inspect source: Option returns: a tale of the expiration rollover day →This Finding was extracted from the configured corpus. It is versioned, traceable, and may evolve through editorial review or new corpus evidence.