Leveraging a call-put ratio as a trading signal
研究了2005年3月至2012年12月期间，基于特定市场数据的看跌看涨比率能否预测资产价格方向性变动，发现该比率调整后能产生超额收益。
We examine whether a put-call ratio, derived from a unique set of market data, can be used to predict directional moves in asset prices during various market conditions between March 2005 and December 2012. Our findings show: (1) specific market participant's options trading volume is a predecessor to asset price movements, and (2) portfolios based on the put-call ratio adjusted for four factors Carhart model and transaction costs exhibit abnormal excess returns.