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Why Do Option Introductions Depress Stock Prices? A Study of Diminishing Short-Sale Constraints

Bartley R. Danielsen

出版	SSRN, 2011
URL	http://books.google.com.hk/books?id=CnTrzgEACAAJ&hl=&source=gbs_api

註釋

Early studies find that option introductions tend to raise the price of underlying stocks. More recent research indicates that post-1980 option introductions are associated with negative abnormal returns in underlying stocks. Other studies document increased short-sale activities following option listing. This paper provides evidence that the documented abnormal returns and changes in short interest around option listings are consistent with the mitigation of short-sale constraints resulting from the option introduction, and that both the abnormal returns and short interest changes around listing dates can be predicted using ex-ante characteristics of the underlying stock.