Options, Short Sales, and Market Completeness
作者： STEPHEN FIGLEWSKI , GWENDOLYN P. WEBB
DOI: 10.1111/J.1540-6261.1993.TB04738.X
关键词:
摘要: This paper presents empirical evidence that trading in options contributes to both transactional and informational efficiency of the stock market by reducing effect constraints on short sales. The significantly higher average level interest exhibited optionable stocks supports argument facilitate selling. We also find significant effects option prices, related underlying stock. then present increase information efficiency. Earlier work, is replicated extended here, has suggested sale cause prices underweight negative information. Options appear reduce effect.
unirioja.es
jstor.org 
sci-hub.se 参考文章(18)
Marc R. Reinganum, Misspecification of capital asset pricing Journal of Financial Economics. ,vol. 9, pp. 19- 46 ,(1981) , 10.1016/0304-405X(81)90019-2
Stephen A. Ross, Options and Efficiency The Quarterly Journal of Economics. ,vol. 90, pp. 75- 89 ,(1976) , 10.2307/1886087
ROBERT JENNINGS, LAURA STARKS, Earnings Announcements, Stock Price Adjustment, and the Existence of Option Markets Journal of Finance. ,vol. 41, pp. 107- 125 ,(1986) , 10.1111/J.1540-6261.1986.TB04494.X
JENNIFER CONRAD, The Price Effect of Option Introduction Journal of Finance. ,vol. 44, pp. 487- 498 ,(1989) , 10.1111/J.1540-6261.1989.TB05068.X
Stephen Figlewski, The Informational Effects of Restrictions on Short Sales: Some Empirical Evidence The Journal of Financial and Quantitative Analysis. ,vol. 16, pp. 463- 476 ,(1981) , 10.2307/2330366
Douglas J. Skinner, Options markets and stock return volatility Journal of Financial Economics. ,vol. 23, pp. 61- 78 ,(1989) , 10.1016/0304-405X(89)90005-6
Fischer Black, Myron Scholes, The Pricing of Options and Corporate Liabilities Journal of Political Economy. ,vol. 81, pp. 637- 654 ,(1973) , 10.1086/260062
Douglas J. Skinner, Options markets and the information content of accounting earnings releases Journal of Accounting and Economics. ,vol. 13, pp. 191- 211 ,(1990) , 10.1016/0165-4101(90)90031-X
Halbert White, A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity Econometrica. ,vol. 48, pp. 817- 838 ,(1980) , 10.2307/1912934
Rolf W. Banz, The relationship between return and market value of common stocks Journal of Financial Economics. ,vol. 9, pp. 3- 18 ,(1981) , 10.1016/0304-405X(81)90018-0