Liu, MYMYLiuChuang Wen ILo, CLCLLo2022-05-252022-05-2520211386-4181https://scholars.lib.ntu.edu.tw/handle/123456789/612066We employ options-implied information derived from implied volatility spreads and implied volatility skews to identify the momentum stage of stocks. We show that the early-stage (late-stage) momentum strategy of buying identified early-stage (late-stage) winners and selling identified early-stage (late-stage) losers outperforms (underperforms) the conventional momentum strategy of buying winners and selling losers across all momentum stages. We also find that the price momentum of the early-stage (late-stage) momentum strategy experiences slower (faster) reversal than that of the conventional momentum strategy. The outperformance of the early-stage momentum strategy comes primarily from the contribution of losers, as options-implied measures better place losers in their momentum stages than winners. Moreover, the identification ability of options-implied measures increases with the informativeness of the options market and, more importantly, is driven by their predictive information about a firm's fundamentals, particularly for profitability. Overall, our results indicate that options-implied information is useful in identifying the momentum stages of stocks.Momentum stage; Options-implied information; Implied volatility spread and skew; Early-and late-stage momentum strategies; MARKET QUALITY; PRICE MOMENTUM; CROSS-SECTION; STOCK RETURNS; SHORT SALES; CONSTRAINTS; TRADERS; IMPACT; RISKjournal article10.1016/j.finmar.2020.1005652-s2.0-85084428727WOS:000633363000001https://scholars.lib.ntu.edu.tw/handle/123456789/525413