This paper studies the effect of option trading on corporate investment and financing policies.Based on prior literature,I hypothesize that option market induces informed trading and thus reduces information asymmetry...This paper studies the effect of option trading on corporate investment and financing policies.Based on prior literature,I hypothesize that option market induces informed trading and thus reduces information asymmetry and the cost of capital.As a result,firms with high option trading have more investment and financing.Specifically,based on the United States public data,this paper finds that option trading volume increases corporate investment and financing,but reduces cash holdings and corporate payouts.These results are robust to the inclusion of industry or firm fixed effect,a control for endogenous options trading,and the use of alternative measures of option trading and corporate policies.The effect of option trading is stronger for firms with higher information asymmetry problems.Finally,this paper finds the results are inconsistent with the“quiet Life”hypothesis and the catering hypothesis.展开更多
This paper examines the information content of implied volatility in the Chinese covered warrant market and finds that the implied volatility is consistently higher than the realized volatility for .all warrants and a...This paper examines the information content of implied volatility in the Chinese covered warrant market and finds that the implied volatility is consistently higher than the realized volatility for .all warrants and across all maturities. The implied volatility has very little information content for future volatility in the Chinese warrant market which is dominated by retail investors. Possible explanations for the results are regulatory issues such as restrictions on the short-selling of warrants, differential trading rules for stocks and warrants, high leverage and low trading costs and a market dominated by retail investors.展开更多
文摘This paper studies the effect of option trading on corporate investment and financing policies.Based on prior literature,I hypothesize that option market induces informed trading and thus reduces information asymmetry and the cost of capital.As a result,firms with high option trading have more investment and financing.Specifically,based on the United States public data,this paper finds that option trading volume increases corporate investment and financing,but reduces cash holdings and corporate payouts.These results are robust to the inclusion of industry or firm fixed effect,a control for endogenous options trading,and the use of alternative measures of option trading and corporate policies.The effect of option trading is stronger for firms with higher information asymmetry problems.Finally,this paper finds the results are inconsistent with the“quiet Life”hypothesis and the catering hypothesis.
文摘This paper examines the information content of implied volatility in the Chinese covered warrant market and finds that the implied volatility is consistently higher than the realized volatility for .all warrants and across all maturities. The implied volatility has very little information content for future volatility in the Chinese warrant market which is dominated by retail investors. Possible explanations for the results are regulatory issues such as restrictions on the short-selling of warrants, differential trading rules for stocks and warrants, high leverage and low trading costs and a market dominated by retail investors.
