The price effect of option introductions: 1973-1992 [electronic resource] / Sorin Sorescu.

Sorescu, Sorin.
Bib ID
vtls001054589
出版項
Ann Arbor, Mich. : ProQuest Information and learning
稽核項
132 p.
預約人數:0
全部評等: 0
沒有紀錄。
 
 
 
02595nam a2200337 a 4500
001
 
 
vtls001054589
003
 
 
VRT
005
 
 
20071225063800.0
006
 
 
m        d 
008
 
 
071225s1996    miu||||||m   |000 0|eng d
020
$a 9780591166415
035
$a (UMI)AAI9709311
039
9
$y 200712250638 $z VLOAD
040
$a UMI $b eng $c UMI
100
1
$a Sorescu, Sorin.
245
1
4
$a The price effect of option introductions: 1973-1992 $h [electronic resource] / $c Sorin Sorescu.
260
$a Ann Arbor, Mich. : $b ProQuest Information and learning
300
$a 132 p.
500
$a Source: Dissertation Abstracts International, Volume: 57-10, Section: A, page: 4480.
500
$a Chairman: Mark J. Flannery.
502
$a Thesis (Ph.D.)--University of Florida, 1996.
520
$a I examine the effect of option listings on the price of underlying stocks for the period 1973-1992. In accordance with previous studies, I find that options increase stock prices during the 1973-1980 period. While some authors attribute this price effect to market completion, I show that it is more likely caused by option dealers manipulating underlying stock prices during that period.
520
$a Federal regulations introduced at the end of 1980 have eliminated many of the opportunities for manipulating stock prices during the 1981-1992 period. Accordingly, no evidence of price manipulation is found for that period. Surprisingly however, after manipulation ceases, the price effect of option introductions does not merely vanish, but becomes negative.
520
$a Two explanations are proposed for the occurrence of this negative effect after 1980: The first is the selection bias hypothesis, according to which exchanges would only introduce options on stocks that have over-performed the market in the near past. If this hypothesis holds true, the negative price effect would therefore simply represent the return to a "more normal" stock performance after the option becomes listed.
520
$a The second is based on the premise that option listings reveal new information, which causes stock prices to adjust accordingly.
520
$a The data do not support either of these hypotheses, suggesting that the negative price effect of option introductions is consistent with equilibrium changes in stock prices. Understanding the cause of these equilibrium price changes remains an important issue for further research.
653
$a Economics, General.
653
$a Economics, Finance.
710
2
0
$a University of Florida.
773
0
$t ABI/INFORM Global (ProQuest) $g 57-10A.
999
$a VIRTUA00
沒有評論
摘要
I examine the effect of option listings on the price of underlying stocks for the period 1973-1992. In accordance with previous studies, I find that options increase stock prices during the 1973-1980 period. While some authors attribute this price effect to market completion, I show that it is more likely caused by option dealers manipulating underlying stock prices during that period.
Federal regulations introduced at the end of 1980 have eliminated many of the opportunities for manipulating stock prices during the 1981-1992 period. Accordingly, no evidence of price manipulation is found for that period. Surprisingly however, after manipulation ceases, the price effect of option introductions does not merely vanish, but becomes negative.
Two explanations are proposed for the occurrence of this negative effect after 1980: The first is the selection bias hypothesis, according to which exchanges would only introduce options on stocks that have over-performed the market in the near past. If this hypothesis holds true, the negative price effect would therefore simply represent the return to a "more normal" stock performance after the option becomes listed.
The second is based on the premise that option listings reveal new information, which causes stock prices to adjust accordingly.
The data do not support either of these hypotheses, suggesting that the negative price effect of option introductions is consistent with equilibrium changes in stock prices. Understanding the cause of these equilibrium price changes remains an important issue for further research.
附註
Source: Dissertation Abstracts International, Volume: 57-10, Section: A, page: 4480.
Chairman: Mark J. Flannery.
Thesis (Ph.D.)--University of Florida, 1996.
合著者
ISBN/ISSN
9780591166415