Options trading imbalance, cash-flow news, and discount-rate news

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Empirical Finance Pub Date : 2024-03-21 DOI:10.1016/j.jempfin.2024.101491

Doina Chichernea , Kershen Huang , Alex Petkevich , Pavel Teterin

引用次数: 0

Abstract

Using publicly available information on option volume totals, we develop new measures of directional option-to-stock (O/S) trading volume imbalance. The novel measures are strongly related to the cash-flow (CF) and discount-rate (DR) news components of unexpected stock returns and consistently predict future abnormal performance. While options markets respond more strongly to CF news than do equity markets, they still do not fully incorporate CF news into prices and therefore lead to returns predictability. This underreaction phenomenon is of smaller magnitude when the options market response is stronger and when short-sale constraints are less binding.

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期权交易失衡、现金流新闻和贴现率新闻

利用可公开获得的期权总交易量信息，我们开发了新的定向期权与股票（O/S）交易量不平衡度量方法。这些新指标与意外股票回报中的现金流（CF）和贴现率（DR）新闻成分密切相关，并能持续预测未来的异常表现。虽然期权市场对 CF 新闻的反应比股票市场更强烈，但它们仍然没有将 CF 新闻完全纳入价格，因此导致了回报的可预测性。当期权市场反应较强、卖空约束较小时，这种反应不足现象的程度较小。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Empirical Finance Multiple-

CiteScore

3.40

自引率

3.80%

发文量

期刊介绍： The Journal of Empirical Finance is a financial economics journal whose aim is to publish high quality articles in empirical finance. Empirical finance is interpreted broadly to include any type of empirical work in financial economics, financial econometrics, and also theoretical work with clear empirical implications, even when there is no empirical analysis. The Journal welcomes articles in all fields of finance, such as asset pricing, corporate finance, financial econometrics, banking, international finance, microstructure, behavioural finance, etc. The Editorial Team is willing to take risks on innovative research, controversial papers, and unusual approaches. We are also particularly interested in work produced by young scholars. The composition of the editorial board reflects such goals.