OPTIONS, SHORT SALES, AND MARKET COMPLETENESS

• 成果类型: Note
• 署名作者: FIGLEWSKI, S; WEBB, GP
• 署名单位: City University of New York (CUNY) System; Baruch College (CUNY)
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.2307/2328923
• 发表日期: 1993
• 页码: 761-777
• 关键词: consistent covariance-matrix; price adjustment; heteroskedasticity; INFORMATION; return

摘要

This paper presents empirical evidence that trading in options contributes to both transactional and informational efficiency of the stock market by reducing the effect of constraints on short sales. The significantly higher average level of short interest exhibited by optionable stocks supports the argument that options facilitate short selling. We also find significant effects on option prices, related to the short interest in the underlying stock. We then present evidence that options also increase information efficiency. Earlier work, that is replicated and extended here, has suggested that short sale constraints cause stock prices to underweight negative information. Options appear to reduce that effect.