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Option Trading and the Relation Between Price and Earnings: A Cross-Sectional Analysis.
16 references·5 citing·39 second hop
Option Trading and the Relation Between Price and Earnings: A Cross-Sectional Analysis. (1993)Option Trading and the Relation Between P…Analyst Following and Institutional Ownership (1990)Analyst Following and Institu…The association between accounting earnings and security returns for large and small firms (1987)The association between accou…Firm size and the information content of prices with respect to earnings (1987)Firm size and the information…Constraints on short-selling and asset price adjustment to private information (1987)Constraints on short-selling …Predisclosure Information, Firm Capitalization, and Security Price Behavior Around Earnings Announcements (1985)Predisclosure Information, Fi…Qualified audit opinions and stock prices (1984)Qualified audit opinions and …Option Prices as Predictors of Equilibrium Stock Prices (1982)Option Prices as Predictors o…The Ex Ante and Ex Post Price Effects of Quarterly Earnings Announcements Reflected in Option and Stock Prices (1981)The Ex Ante and Ex Post Price…The information content of security prices (1980)The information content of se…Anticipated information releases reflected in call option prices (1979)Anticipated information relea…The information content of option prices and a test of market efficiency (1978)The information content of op…Options and Efficiency (1976)Options and EfficiencyCorporate Forecasts of Earnings Per Share and Stock Price Behavior: Empirical Test (1976)Corporate Forecasts of Earnin…Fact and Fantasy in the Use of Options (1975)Fact and Fantasy in the Use o…The Information Content of Annual Earnings Announcements (1968)The Information Content of An…An Empirical Evaluation of Accounting Income Numbers (1968)An Empirical Evaluation of Ac…Does analyst forecast dispersion represent investors’ perceived uncertainty toward earnings? (2020)Does analyst forecast dispers…Public Predisclosure Information, Firm Size, Analyst Following, and Market Reactions to Earnings Announcements (2004)Public Predisclosure Informat…The Effects of Uncertainty on the Informativeness of Earnings: Evidence from the Insurance Industry in the Wake of Catastrophic Events (2002)The Effects of Uncertainty on…Do Options Markets Improve Informational Efficiency?* (1997)Do Options Markets Improve In…An empirical examination of the dispersion and accuracy of analyst forecasts surrounding option listing (1995)An empirical examination of t…Rational Expectations and the Theory of Price Movements (1961)Risk, Return, and Equilibrium: Empirical Tests (1973)Earnings Releases, Anomalies, and the Behavior of Security Returns. (1984)Empirical Tests of the Consumption‐Oriented CAPM (1989)Price and return models (1995)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)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)Differential information and the small firm effect (1984)Earnings news and small traders (1992)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)A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)Analyst Following of Initial Public Offerings (1997)Stock price synchronicity and analyst coverage in emerging markets (2005)Can Twitter Help Predict Firm-Level Earnings and Stock Returns? (2017)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Measuring security price performance (1980)Earnings Management During Import Relief Investigations (1991)Event Studies in Economics and Finance (1997)RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION (1977)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)Differences of Opinion, Short-Sales Constraints, and Market Crashes (2003)The relationship between return and market value of common stocks (1981)Earnings Innovations, Earnings Persistence, and Stock Returns (1987)Reputation and Performance Among Security Analysts (1992)The Geography of Equity Analysis (2005)Nonparametric Tests of Alternative Option Pricing Models Using All Reported Trades and Quotes on the 30 Most Active CBOE Option Classes from August 23, 1976 Through August 31, 1978 (1985)Informed Trading in Stock and Option Markets (2004)The Information in Option Volume for Future Stock Prices (2006)Using daily stock returns (1985)Capital markets research in accounting (2001)Efficient Capital Markets: II (1991)
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References

  • 1968An Empirical Evaluation of Accounting Income Numbers6,384 cited
  • 1968The Information Content of Annual Earnings Announcements2,739 cited
  • 1987Constraints on short-selling and asset price adjustment to private information1,796 cited
  • 1976Corporate Forecasts of Earnings Per Share and Stock Price Behavior: Empirical Test1,749 cited
  • 1975Fact and Fantasy in the Use of Options1,021 cited
  • 1985Predisclosure Information, Firm Capitalization, and Security Price Behavior Around Earnings Announcements1,005 cited
  • 1990Analyst Following and Institutional Ownership843 cited
  • 1976Options and Efficiency830 cited
  • 1980The information content of security prices737 cited
  • 1987The association between accounting earnings and security returns for large and small firms528 cited
  • 1978The information content of option prices and a test of market efficiency485 cited
  • 1987Firm size and the information content of prices with respect to earnings453 cited
  • 1982Option Prices as Predictors of Equilibrium Stock Prices415 cited
  • 1979Anticipated information releases reflected in call option prices325 cited
  • 1981The Ex Ante and Ex Post Price Effects of Quarterly Earnings Announcements Reflected in Option and Stock Prices

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253 cited
  • 1984Qualified audit opinions and stock prices234 cited
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    • 2004Public Predisclosure Information, Firm Size, Analyst Following, and Market Reactions to Earnings Announcements33 cited
    • 2020Does analyst forecast dispersion represent investors’ perceived uncertainty toward earnings?28 cited
    • 1997Do Options Markets Improve Informational Efficiency?*27 cited
    • 2002The Effects of Uncertainty on the Informativeness of Earnings: Evidence from the Insurance Industry in the Wake of Catastrophic Events25 cited
    • 1995An empirical examination of the dispersion and accuracy of analyst forecasts surrounding option listing24 cited