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Why Do Option Introductions Depress Stock Prices? An Empirical Study of Diminishing Short-Sale Constraints
16 references·3 citing·45 second hop
Why Do Option Introductions Depress Stock Prices? An Empirical Study of Diminishing Short-Sale Constraints (2000)Why Do Option Introductions Depress Stock…New Evidence on Stock Price Effects Associated with Changes in the S&P 500 Index (1997)New Evidence on Stock Price E…The overall gains from large bank mergers (1994)The overall gains from large …Volume, Volatility, and the Dispersion of Beliefs (1993)Volume, Volatility, and the D…Options, Short Sales, and Market Completeness (1993)Options, Short Sales, and Mar…Differences of Opinion Make a Horse Race (1993)Differences of Opinion Make a…The Price Effect of Option Introduction (1989)The Price Effect of Option In…The Relation Between Price Changes and Trading Volume: A Survey (1987)The Relation Between Price Ch…Constraints on short-selling and asset price adjustment to private information (1987)Constraints on short-selling …Do Demand Curves for Stocks Slope Down? (1986)Do Demand Curves for Stocks S…Using daily stock returns (1985)Using daily stock returnsThe Informational Effects of Restrictions on Short Sales: Some Empirical Evidence (1981)The Informational Effects of …RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION (1977)RISK, UNCERTAINTY, AND DIVERG…Options and Efficiency (1976)Options and EfficiencyThe Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…The Aggregation of Investor's Diverse Judgments and Preferences in Purely Competitive Security Markets (1969)The Aggregation of Investor's…Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small an…Trading Options and CDS on Stocks under the Short Sale Ban (2010)Trading Options and CDS on St…Can Short-Sellers Predict Returns? Daily Evidence (2005)Can Short-Sellers Predict Ret…Complete markets, informed trading and equity option introductions (2004)Complete markets, informed tr…Recovering Risk Aversion from Option Prices and Realized Returns (2000)Spanning and derivative-security valuation (2000)Theory of rational option pricing (2005)Neglected risks, financial innovation, and financial fragility (2011)On the Impossibility of Informationally Efficient Markets (1980)Continuous Auctions and Insider Trading (1985)Noise Trader Risk in Financial Markets (1990)What Makes Investors Trade? (2001)Differences of Opinion, Short-Sales Constraints, and Market Crashes (2003)Individualism and Momentum around the World (2010)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)The market for corporate control (1983)Noise (1986)The determinants of cross-border equity flows (2004)An Engine, Not a Camera (2006)The cost of capital, corporation finance and the theory of investment (2008)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)An aggregation theorem for securities markets (1974)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Risk Aversion in the Small and in the Large (1976)The Common Prior Assumption in Economic Theory (1995)Equilibrium in an Imperfect Market: A Constraint on the Number of Securities in the Portfolio (2016)Risk, Return, and Equilibrium: Empirical Tests (1973)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)The Cross‐Section of Volatility and Expected Returns (2006)All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)An Empirical Evaluation of Accounting Income Numbers (1968)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Efficient Capital Markets: II (1991)ARCH modeling in finance (1992)Introductory Econometrics for Finance (2008)Information Effects on the Bid-Ask Spread (1983)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Market liquidity and volume around earnings announcements (1994)Differences of Opinion and the Cross Section of Stock Returns (2002)The Behavior of Stock-Market Prices (1965)The Information Content of Annual Earnings Announcements (1968)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)On the measurement of inequality (1970)The arbitrage theory of capital asset pricing (1976)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1985Using daily stock returns6,497 cited
  • 1964Risk Aversion in the Small and in the Large4,964 cited
  • 1977RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION3,714 cited
  • 1987The Relation Between Price Changes and Trading Volume: A Survey2,380 cited
  • 1987Constraints on short-selling and asset price adjustment to private information1,796 cited
  • 1993Differences of Opinion Make a Horse Race1,650 cited
  • 1986Do Demand Curves for Stocks Slope Down?1,524 cited
  • 1976Options and Efficiency830 cited
  • 1969The Aggregation of Investor's Diverse Judgments and Preferences in Purely Competitive Security Markets501 cited
  • 1997New Evidence on Stock Price Effects Associated with Changes in the S&P 500 Index493 cited
  • 1993Volume, Volatility, and the Dispersion of Beliefs478 cited
  • 1993Options, Short Sales, and Market Completeness463 cited
  • 1981The Informational Effects of Restrictions on Short Sales: Some Empirical Evidence394 cited
  • 1994The overall gains from large bank mergers389 cited
  • 1989

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The Price Effect of Option Introduction
352 cited

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  • 2010Trading Options and CDS on Stocks under the Short Sale Ban38 cited
  • 2004Complete markets, informed trading and equity option introductions36 cited
  • 2005Can Short-Sellers Predict Returns? Daily Evidence33 cited