A company's earnings release date significantly affects weekly or monthly option prices/implied volatility. For companies that typically release earnings on the cusp of monthly options expiration, ...
Long case: Assume I am Long 50 shares and there is a 2 for 3 reverse split. Let's denote the quantity of stock by x Prior to the split Portfolio is $-cash_0$ $+50x$ I am then at $-cash_0 +33x ...
Do you guys know if a paper has been published that discusses forward- and backward adjusted stockprices, and the look ahead bias coming from backward adjusted data?