Why does the option to stock volume ratio predict stock returns?

• 成果类型: Article
• 署名作者: Ge, Li; Lin, Tse-Chun; Pearson, Neil D.
• 署名单位: Monash University; University of Hong Kong; University of Illinois System; University of Illinois Urbana-Champaign
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2015.08.019
• 发表日期: 2016
• 页码: 601-622
• 关键词: Option trading volume; STOCK RETURN PREDICTABILITY; INFORMATION; leverage

摘要

We use data on signed option volume to study which components of option volume predict stock returns and resolve the seemingly inconsistent results in the literature. We find no evidence that trades related to synthetic short positions in the underlying stocks contain more information than trades related to synthetic long positions. Purchases of calls that open new positions are the strongest predictor of returns, followed by call sales that close out existing purchased call positions. Overall, our results indicate that the role of options in providing embedded leverage is the most important channel why option trading predicts stock returns. (C) 2016 Elsevier B.V. All rights reserved.