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Option listing and stock returns · Study

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ArticleOption listing and stock returns

Jerome B. Detemple1990

Article1990

Option listing and stock returns

Jerome B. Detemple · Philippe Jorion

214 citations·0/0 files stored·Journal of Banking & Finance

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Financial Markets and Investment Strategies Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

1973The Pricing of Options and Corporate Liabilities 1973Theory of Rational Option Pricing 2005Theory of rational option pricing 1985Using daily stock returns 1987Constraints on short-selling and asset price adjustment to private information 1976Corporate Forecasts of Earnings Per Share and Stock Price Behavior: Empirical Test 1980On the aggregation of information in competitive markets 1982The Economics of Information and Uncertainty

Cited by

1991A General Equilibrium Analysis of Option and Stock Market Interactions 2009Options trading activity and firm valuation 2005Stock price clustering on option expiration dates 1996Information, Trade, and Derivative Securities: Table 1 2004How Do Exchanges Select Stocks for Option Listing?1991The effects of option listing on the underlying stocks' return processes

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1999The Effect of Derivative Assets on Information Acquisition and Price Behavior in a Rational Expectations Equilibriumarticle · 6 shared references 2004The compound option approach to American options on jump-diffusionsarticle · 6 shared references 1992THE IMPACT OF OPTION LISTING ON UNDERLYING STOCK RETURNS: THE UK EVIDENCEarticle · 6 shared references 1999The random-time binomial modelarticle · 6 shared references 2006Option pricing for a stochastic-volatility jump-diffusion model with log-uniform jump-amplitudesother · 6 shared references 199520 Testing option pricing modelschapter · 5 shared references

Details

Year1990

Typearticle

Published1990-10-01

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations214

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/0378-4266(90)90076-e

openalex_workW1593267904

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1999

The Effect of Derivative Assets on Information Acquisition and Price Behavior in a Rational Expectations Equilibrium

2003Limited Arbitrage and Short Sales Restrictions: Evidence from the Options Markets