Bauer, R.

portfolio return option performance investor stock market model result factor journal option traders value trader table investment difference trading period index regression equity month finance evidence variable characteristic estimate three-factor model sample period ratio trade sample pricing alpha report asset loading fund performance time variation level style /put ratio 0.000 momentum company column account panel effect bauer error three-factor option investors factor loadings equity investors business portfolio returns option trading asset pricing models variation european decile exposure power study university spread transaction canadian industry premium size-b month t number research return difference eco-efficiency time-varying sentiment