The effect of options on stock prices: 1973 to 1995

Journal of Finance

Volumn 55, Issue 1, 2000, Pages 487-514

  Sorescu, Sorin M ^a  

^a UNIVERSITY OF HOUSTON   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0007790397     PISSN: 00221082     EISSN: None     Source Type: Journal    
DOI: 10.1111/0022-1082.00214     Document Type: Article

References (11)

1. Black, Fischer, and Myron S. Scholes, 1973, The pricing of options and corporate liabilities, Journal of Political Economy 81, 637-654.
2. Brown, Stephen J., and Jerorld B. Warner, 1985, Using daily stock returns: The case of event studies, Journal of Financial Economics 14, 3-31.
3. Conrad Jennifer 1989, The price effect of option introduction, Journal of Finance 44, 487-499.
4. Davidson, Russell, and James G. MacKinnon, 1981, Several tests for model specification in the presence of alternative hypotheses, Econometrica 49, 781-793.
5. Detemple, Jerome, 1990, Financial innovation, values and volatilities when markets are incomplete, The Geneva Papers on Risk and Insurance Theory 15, 47-53.
6. Detemple, Jerome, and Philippe Jorion, 1990, Option listing and stock returns: An empirical analysis, Journal of Banking and Finance 14, 781-801.
7. Detemple, Jerome, and Larry Selden, 1991, A general equilibrium analysis of option and stock market interactions, International Economic Review 32, 279-303.
8. Diamond, Douglas W., and Robert E. Verrecchia, 1987, Constraints on short selling and asset price adjustment to private information, Journal of Financial Economics 18, 277-311.
9. Greene, William H., 1993, Econometric Analysis (Macmillan Publishing, New York).
10. Kon, Stanley J., and Frank C. Jen, 1978, Estimation of the time varying systematic risk and performance for mutual fund portfolios: An application of switching regression, Journal of Finance 33, 457-475.
11. Ross, Stephen A., 1976, Options and efficiency, Quarterly Journal of Economics 90, 75-89.