Option Trading Activity, News Releases, and Stock Return Predictability

• 成果类型: Article
• 署名作者: Weinbaum, David; Fodor, Andrew; Muravyev, Dmitriy; Cremers, Martijn
• 署名单位: Syracuse University; University System of Ohio; Ohio University; Michigan State University; Michigan State University's Broad College of Business; University of Notre Dame
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2022.4543
• 发表日期: 2023
• 页码: 4810-4827
• 关键词: option trading; news releases; STOCK RETURN PREDICTABILITY

摘要

We examine which categories of option trading volume carry information about future stock prices around corporate news announcements. We predict and find that purchases of options are informative on news days and ahead of unscheduled events but not before scheduled events, and sales of options predict returns only ahead of scheduled news releases. Therefore, although the arrival of new information is an important reason why option volume predicts stock returns, this relation depends on whether the information is scheduled or unscheduled because only the former affects volatility and thus option prices. We also study how trading costs andmargin costs affect ex post profitability around news.