| 来源类型 | Working Paper
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| 规范类型 | 报告
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| DOI | 10.3386/w10925
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| 来源ID | Working Paper 10925
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| The Information of Option Volume for Future Stock Prices |
| Jun Pan; Allen Poteshman
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| 发表日期 | 2004-11-22
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| 出版年 | 2004
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| 语种 | 英语
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| 摘要 | We present strong evidence that option trading volume contains information about future stock price movements. Taking advantage of a unique dataset from the Chicago Board Options Exchange, we construct put-call ratios from option volume initiated by buyers to open new positions. On a risk-adjusted basis, stocks with low put-call ratios outperform stocks with high put-call ratios by more than 40 basis points on the next day and more than 1% over the next week. Partitioning our option signals into components that are publicly and non-publicly observable, we find that the economic source of this predictability is non-public information possessed by option traders rather than market inefficiency. We also find greater predictability from option signals for stocks with higher concentrations of informed traders and from option contracts with greater leverage. |
| 主题 | Financial Economics
; Financial Markets
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| URL | https://www.nber.org/papers/w10925
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| 来源智库 | National Bureau of Economic Research (United States)
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| 引用统计 |
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/568560
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推荐引用方式
GB/T 7714 |
Jun Pan,Allen Poteshman. The Information of Option Volume for Future Stock Prices. 2004.
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文件名：
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w10925.pdf
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格式：
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Adobe PDF
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