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Risk-adjusted performance measures (alphas, Sharpe ratios, certainty equivalents, Kadan-Liu indexes) and Fama-MacBeth cross-sectional regressions are used to rule out risk-based explanations.",28 "key_assumptions": [29 "Risk adjustment measures adequately capture option return risk, including higher moments",30 "Bid-ask midpoint quotes reflect tradable prices",31 "Nontrading timing is exogenous to option-specific information"32 ],33 "threats_addressed": [34 "Differential risk across trading and nontrading periods",35 "Increased aversion to unbounded downside risk over weekends",36 "Portfolio construction and weighting choices",37 "Subsample and year-by-year stability",38 "Transaction costs"39 ],40 "causal_language_strength": 3,41 "uses_causal_claim": true42 },43 "abstract_moves": {44 "question": {45 "present": false,46 "sentence_index": -147 },48 "gap": {49 "present": false,50 "sentence_index": -151 },52 "method": {53 "present": false,54 "sentence_index": -155 },56 "results": {57 "present": true,58 "sentence_index": 059 },60 "magnitude": {61 "present": false,62 "sentence_index": -163 },64 "contribution": {65 "present": true,66 "sentence_index": 267 }68 },69 "introduction": {70 "moves": [71 {72 "paragraph_index": 0,73 "move": "motivation"74 },75 {76 "paragraph_index": 1,77 "move": "mechanism_or_theory_sketch"78 },79 {80 "paragraph_index": 2,81 "move": "preview_of_approach"82 },83 {84 "paragraph_index": 2,85 "move": "preview_of_results"86 },87 {88 "paragraph_index": 3,89 "move": "robustness_mention"90 },91 {92 "paragraph_index": 4,93 "move": "preview_of_results"94 },95 {96 "paragraph_index": 5,97 "move": "preview_of_approach"98 },99 {100 "paragraph_index": 6,101 "move": "preview_of_results"102 },103 {104 "paragraph_index": 7,105 "move": "contribution_statement"106 },107 {108 "paragraph_index": 8,109 "move": "policy_or_broader_implication"110 },111 {112 "paragraph_index": 9,113 "move": "policy_or_broader_implication"114 },115 {116 "paragraph_index": 10,117 "move": "related_literature_positioning"118 },119 {120 "paragraph_index": 11,121 "move": "roadmap"122 }123 ],124 "contribution_paragraph_index": 7,125 "contribution_types": [126 "new_evidence",127 "resolution_of_puzzle"128 ],129 "roadmap_present": true,130 "literature_positioning_location": "inside_introduction"131 },132 "section_roles": [133 {134 "idx": 0,135 "role": "introduction"136 },137 {138 "idx": 1,139 "role": "data"140 },141 {142 "idx": 2,143 "role": "results"144 },145 {146 "idx": 3,147 "role": "results"148 },149 {150 "idx": 4,151 "role": "conclusion"152 }153 ],154 "results_presentation": {155 "economic_significance_discussed": true,156 "statistical_significance_language": "mixed",157 "magnitude_statements_in_intro": true158 },159 "robustness": {160 "location": "mixed",161 "types": [162 "alternative_specification",163 "subsample",164 "alternative_measure",165 "alternative_sample_period"166 ]167 },168 "tables": {169 "convention_notes": "Notes define each portfolio construction, report Newey-West t-statistics in parentheses, and present differences as nontrading mean minus trading mean. Volume is given in 100-share contracts and spreads in percent. Fama-MacBeth regressions are used for the cross-sectional analysis.",170 "units_stated_in_notes": true,171 "standard_errors_description": "newey_west"172 },173 "figures": {174 "uncertainty_shown": "yes"175 },176 "conclusion": {177 "bounded_claims": true,178 "policy_implications": true,179 "open_questions": false,180 "restates_contribution": true181 },182 "hedging": {183 "level": "moderate",184 "typical_devices": [185 "our evidence suggests",186 "we believe",187 "likely",188 "may",189 "possible that"190 ]191 },192 "claim_evidence": [193 {194 "claim": "Delta-hedged option returns are strongly negative over nontrading periods and near zero on trading days.",195 "evidence_type": "table",196 "evidence_ref": "Table II, Table III"197 },198 {199 "claim": "The effect holds across puts and calls, maturities, moneyness, weighting schemes and samples.",200 "evidence_type": "table",201 "evidence_ref": "Table III, Table IV"202 },203 {204 "claim": "The nontrading effect is negative in every sample year.",205 "evidence_type": "figure",206 "evidence_ref": "Figure 1"207 },208 {209 "claim": "Implied volatilities embed sizable variance during market closure, while realized variance over closure is small.",210 "evidence_type": "table",211 "evidence_ref": "Table V"212 },213 {214 "claim": "Risk-adjusted returns from writing options remain much higher over nontrading periods despite somewhat higher risk.",215 "evidence_type": "table",216 "evidence_ref": "Table VI"217 },218 {219 "claim": "Cross-sectional risk patterns do not explain nontrading returns.",220 "evidence_type": "table",221 "evidence_ref": "Table VII"222 },223 {224 "claim": "The nontrading effect is related to volume and open interest patterns.",225 "evidence_type": "figure",226 "evidence_ref": "Figure 2"227 }228 ],229 "structural_summary": "The paper documents an anomaly and then tests explanations for it. The introduction motivates with institutional reasons why risk and return may differ when markets are closed. It then previews pervasive nontrading return effects and a gap between implied and realized variance. Three explanations are laid out (risk, risk aversion, mispricing), and the evidence is previewed as favoring mispricing. The introduction closes with implications for research, trading and industry practice, and a single-paper literature positioning. After the data section, a results section establishes the effect and its robustness. A second results section rules out risk-based explanations. The conclusion quantifies the dollar transfer from buyers to writers and recommends trading-time conventions for the VIX and for data providers.",230 "writing_profile_keywords": [231 "anomaly documentation",232 "option returns",233 "weekend effect",234 "mispricing interpretation",235 "risk adjustment",236 "industry practice implications",237 "calendar vs trading time"238 ],239 "confidence": 0.85,240 "notes": "The abstract gives no method or magnitude sentence. Robustness appears within a results subsection, and an Internet Appendix is mentioned. 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