The impact of fundamental accounting signals on option returns

Abstract

The purpose of my research work is to investigate whether fundamental accounting signals have a significant influence on the option returns. The fundamental accounting signals released by companies will have a deep effect on the extreme stock price movement, and the option return is associated with the price of its underlying equity security. Results of the research work reveal that investors can use fundamental accounting signals to predict and gain significant option returns. According to the result, I can conclude that the fundamental accounting signals have significant and positive relationship with the option returns.