Options trading volume and stock price response to earnings announcements

• 成果类型: Article
• 署名作者: Truong, Cameron; Corrado, Charles
• 署名单位: Monash University
• 刊物名称: REVIEW OF ACCOUNTING STUDIES
• ISSN/ISSBN: 1380-6653
• DOI: 10.1007/s11142-013-9243-x
• 发表日期: 2014
• 页码: 161-209
• 关键词: information-content; PREDISCLOSURE INFORMATION; differential amounts; ACCOUNTING EARNINGS; SECURITY RETURNS; SHORT SALES; MARKET; patterns; BEHAVIOR; equilibrium

摘要

We examine the effect of options trading volume on the stock price response to earnings announcements over the period 1996-2007. Contrary to previous studies, we find no significant difference in the immediate stock price response to earnings information announcements in samples split between firms with listed options and firms without listed options. However, within the sample of firms with listed options stratified by options volume, we find that higher options trading volume reduces the immediate stock price response to earnings announcements. This conforms with evidence that stock prices of high options trading volume firms have anticipated and pre-empted some earnings information in the pre-announcement period. We also find that higher abnormal options trading volume around earnings announcements hastens the stock price adjustment to earnings news and reduces post-earnings announcement drift.