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Complete markets, informed trading and equity option introductions

Faff, Robert ; Hillier, David

Journal of banking & finance, 2005-06, Vol.29 (6), p.1359-1384 [Periódico revisado por pares]

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Título:
Complete markets, informed trading and equity option introductions
Autor: Faff, Robert ; Hillier, David
Assuntos: Applied economics ; Assets ; Capital market ; Complete markets ; Empirical research ; Equity ; Financial economics ; Informed trading ; Insider dealing ; Option pricing ; Options ; Options on stocks ; Options trading ; Regression analysis ; Short sales ; Studies ; U.S.A
É parte de: Journal of banking & finance, 2005-06, Vol.29 (6), p.1359-1384
Notas: ObjectType-Article-2
SourceType-Scholarly Journals-1
ObjectType-Feature-1
content type line 23
Descrição: This paper proposes and tests a new hypothesis concerning the price impact of option introductions on the underlying asset. We argue that the leverage properties of options induce a higher level of informed trading in the aggregate market (underlying plus derivative), resulting in excess listing-day price movements in the newly optioned equity. Using an alternative dataset, our results suggest that this may be an explanation for the observed positive than negative excess listing-day returns of US optioned stocks over the past thirty years.
Editor: Amsterdam: Elsevier B.V
Idioma: Inglês

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