메뉴 건너뛰기




Volumn 36, Issue 4, 2001, Pages 451-484

Why do option introductions depress stock prices? A study of diminishing short sale constraints

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0035732388     PISSN: 00221090     EISSN: None     Source Type: Journal    
DOI: 10.2307/2676220     Document Type: Article
Times cited : (235)

References (34)
  • 3
    • 85015692260 scopus 로고
    • The pricing of options and corporate liabilities
    • Black, R, and M. Scholes. "The Pricing of Options and Corporate Liabilities." Journal of Political Economy, 81 (1973), 637-659.
    • (1973) Journal of Political Economy , vol.81 , pp. 637-659
    • Black, R.1    Scholes, M.2
  • 4
    • 84986382863 scopus 로고
    • The impact of option listing on the price and volume of the underlying stock
    • Branch, B., and J. E. Finnerty. "The Impact of Option Listing on the Price and Volume of the Underlying Stock." Financial Review, 16 (1981), 1-15.
    • (1981) Financial Review , vol.16 , pp. 1-15
    • Branch, B.1    Finnerty, J.E.2
  • 6
    • 36749092418 scopus 로고
    • Using daily stock returns: The case of event studies
    • Brown, S. J., and J. B. Warner. "Using Daily Stock Returns: The Case of Event Studies." Journal of Financial Economics, 14 (1985), 3-31.
    • (1985) Journal of Financial Economics , vol.14 , pp. 3-31
    • Brown, S.J.1    Warner, J.B.2
  • 7
    • 84977720952 scopus 로고
    • The price effect of option introduction
    • Conrad, J. "The Price Effect of Option Introduction." Journal of Finance, 44 (1989), 487-499.
    • (1989) Journal of Finance , vol.44 , pp. 487-499
    • Conrad, J.1
  • 8
    • 0039129398 scopus 로고
    • Financial innovation, values and volatilities when markets are incomplete
    • Detemple, J. "Financial Innovation, Values and Volatilities when Markets are Incomplete." The Geneva Papers on Risk and Insurance Theory, 15 (1990), 47-53.
    • (1990) The Geneva Papers on Risk and Insurance Theory , vol.15 , pp. 47-53
    • Detemple, J.1
  • 10
    • 0001125608 scopus 로고
    • A general equilibrium analysis of option and stock market interactions
    • Detemple, J., and L. Selden. "A General Equilibrium Analysis of Option and Stock Market Interactions." International Economic Review, 32 (1991), 279-303.
    • (1991) International Economic Review , vol.32 , pp. 279-303
    • Detemple, J.1    Selden, L.2
  • 11
    • 0001675669 scopus 로고
    • Constraints on short-selling and asset price adjustment to private information
    • Diamond, D. W., and R. E. Verrecchia. "Constraints on Short-Selling and Asset Price Adjustment to Private Information." Journal of Financial Economics, 18 (1987), 277-312.
    • (1987) Journal of Financial Economics , vol.18 , pp. 277-312
    • Diamond, D.W.1    Verrecchia, R.E.2
  • 12
    • 84974486861 scopus 로고
    • The informational effects of restrictions on short sales: Some empirical evidence
    • Figlewski, S. "The Informational Effects of Restrictions on Short Sales: Some Empirical Evidence." Journal of Financial and Quantitative Analysis, 16 (1981), 463-476.
    • (1981) Journal of Financial and Quantitative Analysis , vol.16 , pp. 463-476
    • Figlewski, S.1
  • 13
    • 84993650709 scopus 로고
    • Options, short sales, and market completeness
    • Figlewski, S., and G. P. Webb. "Options, Short Sales, and Market Completeness." Journal of Finance, 48 (1993), 761-777.
    • (1993) Journal of Finance , vol.48 , pp. 761-777
    • Figlewski, S.1    Webb, G.P.2
  • 15
    • 0039072667 scopus 로고
    • Does delisting from the S&P 500 affect stock price?
    • Goetzmann, W. N., and M. Garry. "Does Delisting from the S&P 500 Affect Stock Price?" Financial Analysts Journal, 42 (1986), 64-69.
    • (1986) Financial Analysts Journal , vol.42 , pp. 64-69
    • Goetzmann, W.N.1    Garry, M.2
  • 16
    • 0011418755 scopus 로고
    • Welfare aspects of options and supershares
    • Hakansson, N. H. "Welfare Aspects of Options and Supershares." Journal of Finance, 33 (1978), 759-776.
    • (1978) Journal of Finance , vol.33 , pp. 759-776
    • Hakansson, N.H.1
  • 17
    • 84886231184 scopus 로고
    • Price and volume effects associated with changes in the S&P 500: New evidence for the existence of price pressures
    • Harris, L., and E. Gurel. "Price and Volume Effects Associated with Changes in the S&P 500: New Evidence for the Existence of Price Pressures." Journal of Finance, 41 (1986), 815-830.
    • (1986) Journal of Finance , vol.41 , pp. 815-830
    • Harris, L.1    Gurel, E.2
  • 18
    • 21344493808 scopus 로고
    • Differences of opinion make a horse race
    • Harris, M., and A. Raviv. "Differences of Opinion Make a Horse Race." Review of Financial Studies, 6 (1993), 473-506.
    • (1993) Review of Financial Studies , vol.6 , pp. 473-506
    • Harris, M.1    Raviv, A.2
  • 20
    • 0001854524 scopus 로고
    • The effect on stock price of inclusion in or exclusion from the S&P 500
    • Jain, P. C. "The Effect on Stock Price of Inclusion in or Exclusion from the S&P 500." Financial Analysts Journal, 43 (1987), 58-65.
    • (1987) Financial Analysts Journal , vol.43 , pp. 58-65
    • Jain, P.C.1
  • 21
    • 84977408304 scopus 로고
    • Heterogeneous expectations, restrictions on short sales, and equilibrium asset prices
    • Jarrow, R. "Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices." Journal of Finance, 35 (1980), 1105-1113.
    • (1980) Journal of Finance , vol.35 , pp. 1105-1113
    • Jarrow, R.1
  • 23
    • 84919214538 scopus 로고
    • The relation between price changes and trading volume, a survey
    • Karpoff, J. M. "The Relation between Price Changes and Trading Volume, a Survey." Journal of Financial and Quantitative Analysis, 22 (1987), 109-126.
    • (1987) Journal of Financial and Quantitative Analysis , vol.22 , pp. 109-126
    • Karpoff, J.M.1
  • 24
    • 84986466166 scopus 로고
    • Costly short sales and the correlation of returns with volume
    • _. "Costly Short Sales and the Correlation of Returns with Volume." Journal of Financial Research, 9 (1988), 173-188.
    • (1988) Journal of Financial Research , vol.9 , pp. 173-188
  • 25
    • 0040165094 scopus 로고    scopus 로고
    • The impact of options trading on the market quality of the underlying security: An empirical analysis
    • Kumar, R.; A. Sarin; and K. Shastri. "The Impact of Options Trading on the Market Quality of the Underlying Security: An Empirical Analysis." Journal of Finance, 53 (1998), 717-732.
    • (1998) Journal of Finance , vol.53 , pp. 717-732
    • Kumar, R.1    Sarin, A.2    Shastri, K.3
  • 26
    • 84944837822 scopus 로고
    • The aggregation of investors' diverse judgments and preferences in purely competitive security markets
    • Lintner, J. "The Aggregation of Investors' Diverse Judgments and Preferences in Purely Competitive Security Markets." Journal of Financial and Quantitative Analysis, 4 (1969), 347-400.
    • (1969) Journal of Financial and Quantitative Analysis , vol.4 , pp. 347-400
    • Lintner, J.1
  • 27
    • 0000177414 scopus 로고    scopus 로고
    • New evidence on stock price effects associated with changes in the S&P 500 index
    • Lynch, A. W.; and R. Mendenhall. "New Evidence on Stock Price Effects Associated with Changes in the S&P 500 Index." Journal of Business, 70 (1997), 351-383.
    • (1997) Journal of Business , vol.70 , pp. 351-383
    • Lynch, A.W.1    Mendenhall, R.2
  • 28
    • 84916929634 scopus 로고
    • Risk, uncertainty, and divergence of opinion
    • Miller, E. M. "Risk, Uncertainty, and Divergence of Opinion." Journal of Finance, 32 (1977), 1151-1168.
    • (1977) Journal of Finance , vol.32 , pp. 1151-1168
    • Miller, E.M.1
  • 30
    • 0001579697 scopus 로고
    • Risk aversion in the small and in the large
    • Pratt, J. W. "Risk Aversion in the Small and in the Large." Econometrics, 32 (1964), 122-136.
    • (1964) Econometrics , vol.32 , pp. 122-136
    • Pratt, J.W.1
  • 32
    • 21144464942 scopus 로고
    • Volume, volatility, and the dispersion of beliefs
    • Shalen, C. T. "Volume, Volatility, and the Dispersion of Beliefs." Review of Financial Studies, 6 (1993), 405-434.
    • (1993) Review of Financial Studies , vol.6 , pp. 405-434
    • Shalen, C.T.1
  • 33
    • 0000183976 scopus 로고
    • Do demand curves for stocks slope down?
    • Shleifer, A. "Do Demand Curves for Stocks Slope Down?" Journal of Finance, 41 (1986), 579-590.
    • (1986) Journal of Finance , vol.41 , pp. 579-590
    • Shleifer, A.1
  • 34
    • 0007790397 scopus 로고    scopus 로고
    • The effect of options on stock prices: 1973-1995
    • Sorescu, S. "The Effect of Options on Stock Prices: 1973-1995." Journal of Finance, 55 (2000), 487-514.
    • (2000) Journal of Finance , vol.55 , pp. 487-514
    • Sorescu, S.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.