OPTION LISTING AND STOCK RETURNS - AN EMPIRICAL-ANALYSIS

被引：69

作者：

DETEMPLE, J ^{[1
]}

JORION, P ^{[1
]}

机构：

[1] NORTHWESTERN UNIV,EVANSTON,IL 60201

来源：

JOURNAL OF BANKING & FINANCE | 1990年 / 14卷 / 04期

关键词：

D O I：

10.1016/0378-4266(90)90076-E

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This article examines the effect of option introductions on the underlying stocks. In addition to the price increase and volatility decrease that take place when new options are listed, we obtain and explain the following new empirical results: (i) an increase in the value of the market around the listing dates of new options, (ii) an increase in the value of an industry index which excludes the optioned stocks, (iii) the dissipation of the price and volatility effects in recent periods and (iv) the existence of an announcement effect in one subperiod of our sample and its dissipation in recent periods. © 1990.

引用

页码：781 / 801

页数：21

共 31 条

[1] A NOISY RATIONAL-EXPECTATIONS EQUILIBRIUM FOR MULTI-ASSET SECURITIES MARKETS [J].