The Effect of Options on Stock Prices : 1973 to 1995  

Oleh:

Sorescu, Sorin M.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 55 no. 1 (2000), page 487-514.
Topik: STOCK PRICES; stock prices; securities markets; options markets; effects; studies
Fulltext: p 487.pdf (229.6KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88.1 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

Lihat Detail Induk

Isi artikel

I show that the effect of option introductions on underlying stock prices is best described by a two - regime swithcing means model whose optimal switch date occurs in 1981. In accordance with previous studies, I find positive abnormal returns for options listed during 1973 to 1980. By contrast, I find negative abnormal returns for options listed in 1981 and later. Possible causes for this switch include the introduction of index option in 1982, the implementation of regulatory changes in 1981 and the possibility that options expedite the dissemination of negative information.

Opini Anda

Klik untuk menuliskan opini Anda tentang koleksi ini!

Kembali