The option to stock volume ratio and future returns

• 成果类型: Article
• 署名作者: Johnson, Travis L.; So, Eric C.
• 署名单位: Stanford University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2012.05.008
• 发表日期: 2012
• 页码: 262-286
• 关键词: Short-sale costs; options; trading volume; Return predictability

摘要

We examine the information content of option and equity volumes when trade direction is unobserved. In a multimarket asymmetric information model, equity short-sale costs result in a negative relation between relative option volume and future firm value. In our empirical tests, firms in the lowest decile of the option to stock volume ratio (O/S) outperform the highest decile by 0.34% per week (19.3% annualized). Our model and empirics both indicate that O/S is a stronger signal when short-sale costs are high or option leverage is low. O/S also predicts future firm-specific earnings news, consistent with O/S reflecting private information. (C) 2012 Elsevier B.V. All rights reserved.