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1.
Competition, Market Structure, and Bid-Ask Spreads in Stock Option Markets   总被引:3,自引:1,他引:3  
This paper examines the effects of competition and market structure on equity option bid-ask spreads from 1986 to 1997. Options listed on multiple exchanges have narrower spreads than those listed on a single exchange, but the difference diminishes as option volume increases. Option spreads become wider when a competing exchange delists the option. Options traded under a "Designated Primary Marketmaker" (DPM) have narrower quoted spreads than those traded in a traditional open outcry crowd. Effective spreads are found to be slightly narrower under the DPM than in the crowd, but only since 1992, and only on low-volume options.  相似文献   

2.
This paper examines the changes in spreads, price volatility, and trading activity surrounding option listing for a sample of 144 OTC stocks. For this sample, both price volatility and volume increase, but the evidence on spreads is mixed. The increase in price volatility is attributed primarily to an increase in residual return variances. Furthermore, price volatility increases even after controlling for volume, insider trading, and spreads. Although these variables do not fully explain the causes for the increase in price volatility after option listing, the results suggest that liquidity trading or volume has a stronger effect on price volatility than insider trading. This study also finds that both the number of trades and institutional holdings show substantial increases, which are supportive of the notion that listing of options on OTC stocks attracts more attention.  相似文献   

3.
Analysis of the corporate stock option expensing decision (before the practice became mandatory in 2006) continues to be of interest because it provides insight into the underlying factors affecting not only expense recognition, but the overall corporate decision‐making process. Using a sample of 207 companies that volunteered to expense options and more than 1,000 non‐expensing firms, the authors found that companies that provide more disclosure and appeared to have a stronger alignment of managerial and shareholder interests were also more likely to expense stock options—a finding that the authors view as indirect evidence that voluntary expensing was more likely to occur in companies that practiced effective corporate governance. And consistent with the prediction of efficient market theorists, the study also found no significant market reaction to announcements of these decisions to expense options. The study also found that companies that were the heaviest users of options—notably, smaller, high—growth, and less‐profitable firms—were least likely to expense them. And while this finding adds to the weight of evidence suggesting that companies often make accounting decisions designed to boost reported earnings, the authors also recognize that the possibility that the decision by other companies not to expense may have been a strategy designed primarily to preserve access to capital markets.  相似文献   

4.
The Informational Role of Stock and Option Volume   总被引:8,自引:0,他引:8  
This article analyzes the intraday interdependence of orderflows and price movements for actively traded NYSE stocks andtheir Chicago Board Options Exchange (CBOE)-traded options.Stock net trade volume (buyer-initiated volume minus seller-initiatedvolume) has strong predictive ability for stock and option quoterevisions, but option net trade volume has no incremental predictiveability. This suggests that informed investors initiate tradesin the stock market but not in the option market. On the otherhand, both stock and option quote revisions have predictiveability for each other. Thus, while information in the stockmarket is contained in both quote revisions and trades, informationin the option market is contained only in quote revisions.  相似文献   

5.
6.
The bid-ask spread of stock prices is examined for a sample of dividend initiating firms. The average percentage and dollar bid-ask spreads increase significantly on the day preceding the Wall Street Journal Index announcement date, possibly reflecting, on average, the market maker's anticipatory uncertainty. The day -1 increase in spread is inversely associated with firm size, an information environment proxy, after considering the simultaneous effects of dividend yield, returns variance, dollar trading volume and share price. The average percentage spread declines significantly on day 0 from its day -1 level and remains lower, on average, over a 365 day post-announcement period than 90 day pre-announcement levels. Similar results are obtained for dollar spread averages. The post-announcement percentage spread decline suggests a resolution of uncertainty, and is positively associated with the dividend yield. Dividend initiation announcements appear to reduce informational asymmetry.  相似文献   

7.
This article examines whether shifts in the stance of monetary policy can account for the observed predictability in excess stock returns. Using long-horizon regressions and short-horizon vector autoregressions, the article concludes that monetary policy variables are significant predictors of future returns, although they cannot fully account for observed stock return predictability. I undertake variance decompositions to investigate how monetary policy affects the individual components of excess returns (risk-free discount rates, risk premia, or cash flows).  相似文献   

8.
A substantial body of literature on security market anomalies has evolved since the articulation of the efficient markets hypothesis. These anomalies include the size, January, and weekend effects. The evidence of such anomalies has been based upon returns computed from closing prices. Although readily available, analysis of closing prices may not reflect returns obtainable by public traders utilizing market orders to execute trades. We have demonstrated elsewhere that returns computed from closing prices are biased upward compared with returns that would have resulted from using market orders. This study reexamines the evidence on two market anomalies using returns generated in a manner more consistent with the actual returns available to actual market participants.  相似文献   

9.
This study examines the effect of changes in margin requirements on stock price volatility. We examine the possibility that the impact of margin requirements varies with a stock's degree of speculative interest. Using four alternative measures of speculative interest, we divide our sample into ten portfolios. We find no consistent evidence of a relationship between margin requirements and changes in volatility for any portfolio. The inconsistent and often contradictory results produced by these changes question its usefulness by Federal Reserve decision makers.  相似文献   

10.
We study the effect of investor sentiment on the relation between the option to stock volume ratio (O/S) and future stock returns. Relative option volume has return predictability under short sale constraints. For this reason, we expect and find a stronger O/S‐return relation during high sentiment periods than during low sentiment periods. We find that Baker and Wurgler's Investor Sentiment Index affects the O/S‐return relation after controlling for consumer sentiment indices and economic environment factors. While prior studies have used consumer sentiment indices as alternative measures of investor sentiment, our results suggest these effects are distinct.  相似文献   

11.
股票期权的实践与探讨   总被引:4,自引:0,他引:4  
作为分配制度变革的股票期权计划,在发达国家运用已有近30年的历史,成为企业一种有效的激励机制。随着我国企业改革的深化与市场经济的确立,急需探索一条科学有效的激励机制。在我国现行的法律体系下,股票期权计划这种长期激励机制吸引了越来越多的注意力。本对我国在推行股票期权计划的实践中所产生的一些问题作了初步的探讨。  相似文献   

12.
为了探索股指期权产品合约规格设计的一般规律,对全球主要市场中股指期权产品业务实践进行了调查、对比分析与总结。分析结果表明,全球主要市场的股指期权以欧式行权与现金交割的方式为主,注重近月合约月份,在行权价格间距、行权价格序列、合约乘数以及报价单位的设计上会综合考虑它们对流动性等因素的影响,合约编码主要采用交易代码、合约到期日、合约类型以及行权价格四个要素依次排列的结构。这些都为未来在境内市场推出股指期权产品,开展股指期权业务提供了重要参考。  相似文献   

13.
This paper investigates empirically the direct effect of option trading on the structure of costs that comprise the underlying equity bid-ask spread. Our results show that the spread declines over a 30-day period following initiation of option trading, but the decline vanishes when price, volume, and volatility effects are considered. Changes in the composition of the spread reflect primarily a reduction in adverse information costs. Additionally, consistent with previous research, we find significant transaction-type clustering in our intraday data.  相似文献   

14.
Executive stock option plans have asymmetric payoffs that could induce managers to take on more risk. Evidence from traded call options and stock return data supports this notion. Implicit share price variance, computed from the Black-Scholes option pricing model, and stock return variance increase after the approval of an executive stock option plan. The event is accompanied by a significant positive stock and a negative bond market reaction. This evidence is consistent with the notion that executive stock options may induce a wealth transfer from bondholders to stockholders.  相似文献   

15.
This paper examines intra-day variations in the bid-ask spread, volatility and volume for stocks traded on the London Stock Exchange. The data set used consists of quote and transactions data for a large sample of 835 stocks traded during the first quarter of 1991. The focus of the study is twofold; first, is to document a number of stylized facts regarding the intra-day behaviour of spread, trading volume, volatility etc. Second, the paper tests some predictions of two theoretical models of intra-day behaviour: the Admati and Pfleiderer and the Brock and Kleidon models. In addition, the paper also studies qualitatively the intra-day behaviour of several variables of interest including volume per transaction, transactions per fifteen-minute interval and spreads/trading volume for stocks of differing liquidity. The results suggest that the bid-ask spread is wide at the open, constant through the day and rises slightly at the close. Trading volume, in contrast is not highest at the open and the close. Volatility, based on the mid-point of the inside spread, shows a U-shaped pattern. Volume per transaction, in contrast, is fairly constant throughout the day. Further, the intra-day trading volume pattern differs for liquid and illiquid stocks. The results provide mixed support for current theoretical models of intra-day behaviour of spread, volume and volatility on the London Stock Exchange  相似文献   

16.
This study presents empirical evidence on the ex post costs of employee stock option (ESO) grants to issuing firms and examines whether the Black–Scholes [1973] model provides reasonable estimates of these values. Because there are no market prices for ESOs, the traditional avenues for testing option–pricing models are unavailable. This research relies instead on techniques from the economic forecasting literature, viewing model values as forecasts of the options' payoff. The theoretically appropriate rate at which to discount ESO payoffs is derived under the maintained hypothesis that the Black–Scholes model is valid. This rate is used in estimating ex post ESO costs at the time of grant, which are then compared with Black–Scholes estimates using Theil's [1966] tests of forecast rationality. Based on a sample of 966 ESO grants over 1963–1984, the results suggest that the Black–Scholes model, adjusted for concavity in the time to exercise using the Hemmer, Matsunaga, and Shevlin [1994] procedure, appears to provide reasonable estimates of ex post ESO costs for the average ESO grant. However, there is significant variability in the amount of model error on an individual grant basis.  相似文献   

17.
The IASC recently recommended that employee compensation in the form of stock options be measured at the 'fair value' based on an option pricing model and the value should be recognized in financial statements. This follows adoption of SFAS No. 123 in the United States, which requires firms to estimate the value of employee stock options using either a Black‐Scholes or binomial model. Most US firms used the B‐S model for their 1996 financial statements. This study assumes that option life follows a Gamma distribution, allowing the variance of option life to be separate from its expected life. The results indicate the adjusted Black‐Scholes model could overvalue employee stock options on the grant date by as much as 72 percent for nondividend paying firms and by as much as 84 percent for dividend paying firms. The results further demonstrate the sensitivity of ESO values to the volatility of the expected option life, a parameter that the B‐S model or a Poisson process cannot accommodate. The variability of option life has an especially big impact on ESO value for firms whose ESOs have a relatively short life (5 years, for example) and high employee turnover. For such firms, the results indicate a binomial option pricing model is more appropriate for estimating ESO value than the B‐S type model.  相似文献   

18.
The January effect is primarily a low-share price effect and less so a market value effect. In the recent 1977–1986 period, after-transaction-cost raw and excess January returns are lower on low-price stocks than on high-price stocks. Failure of informed traders to eliminate significantly large before-transaction-cost excess January returns on low-price stocks is potentially explained by higher transaction costs and a bid-ask bias. At the least, the January anomaly found in prior tests is not persistent, and thereby, not likely to be exploitable by typical investors.  相似文献   

19.
The introduction of shelf registration in 1982 is used to examine the extent of price-taking behavior among investment banks. Changes in underwriting syndicates are compared with the concomitant adjustment in underwriting spreads and management fees. The evidence is consistent with higher organizing costs and/or market power in the underwriting syndicate. Evidence on the components of the spreads and syndicate composition during the introduction of shelf registration is also presented.  相似文献   

20.
We use Swedish ownership data to explore whether a large and diversified shareholder base leads to lower volatility by improving the information content of stock prices. We find that volatility increases in the number of shareholders with respect to both the number of relatively large shareholders and the fraction of shares held by investors with stakes below 0.1%. Volatility is also positively related to the number of institutional owners but negatively related to the number of large and underdiversified institutional owners. Foreign investors have no impact. Our results suggest that a large shareholder base does not lower volatility.  相似文献   

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