The predictive power of option prices for stock returns and nonfundamental shocks
研究发现期权价格能预测股票回报，除了传统认为的期权交易者掌握基本面信息外，还因为他们能预判非基本面冲击（如被纳入标普500指数）后的价格反转。
Abstract Option prices can predict stock returns. Previous studies suggest that this is because option traders have private information about the fundamentals of the stock. We show another reason is that option traders can anticipate the reversal of nonfundamental shocks to stock price. We use S&P 500 index inclusion as an example of a nonfundamental shock. We document that index inclusion increases the implied volatility skew of added stocks, which then predicts the reversal of the stock price shock in the following months.