Option Mispricing around Nontrading Periods
研究发现期权在非交易期间（主要是周末）的回报显著更低，这种错误定价源于市场对闭市期间股票收益方差的错误处理，且不能用风险解释，对涉及期权价格的金融研究有重要启示。
ABSTRACT We find that option returns are significantly lower over nontrading periods, the vast majority of which are weekends. Our evidence suggests that nontrading returns cannot be explained by risk, but rather are the result of widespread and highly persistent option mispricing driven by the incorrect treatment of stock return variance during periods of market closure. The size of the effect implies that the broad spectrum of finance research involving option prices should account for nontrading effects. Our study further suggests how alternative industry practices could improve the efficiency of option markets in a meaningful way.