Option trading, price discovery, and earnings news dissemination

Contemporary Accounting Research

Volumn 14, Issue 2, 1997, Pages 153-192

  Amin, Kaushik I ^a   Lee, Charles M C ^b  

^a LEHMAN BROTHERS   (United States)

^b Department of Molecular Biology and Genetics   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0040742555     PISSN: 08239150     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1911-3846.1997.tb00531.x     Document Type: Article

References (47)

1. Anthony, J. H. Joint Option Equity Analysis: An Investigation of Information Trading In the Call Options Market. Proceedings: AAA Western Regional Meetings. 1988a.
2. _. The Interrelation of Stock and Options Market Trading-Volume Data Journal of Finance (1988b), 949-964.
3. _. The Effect of Information Announcements on Bid/Ask Spreads in the Call Options Market. Contemporary Accounting Research (1987), 460-476.
4. Bamber, L. S. The Information Content of Annual Earnings Releases: A Trading Volume Approach. Journal of Accounting Research (1986), 40-56.
5. _. Unexpected Earnings, Firm Size, and Trading Volume Around Quarterly Earnings Announcements. Accounting Review (1987), 510-532.
6. Battacharya, M. Price Changes of Related Securities: The Case of Call Options and Stocks. Journal of Financial and Quantitative Analysis (1987), 1-15.
7. Black, F. Fact and Fantasy in the Use of Option. Financial Analysts Journal (1975), 36-41 and 61-72.
8. Botosan, C., and D. J. Skinner. The Relation Between Post-Earnings-Announcement Drift and Options Listing. Working paper. University of Michigan, 1993.
9. Chan, K., Y. P. Chung, and H. Johnson. Why Option Prices Lag Stock Prices: A Trading-based Explanation. Journal of Finance (1993), forthcoming.
10. Copeland, T. E., and D. Galai. Information Effects on the Bid/Ask Spread. Journal of Finance (1983), 1457-1469.
11. Cox, J. C., and M. Rubinstein. Options Markets. Prentice-Hall, 1985.
12. Damodaran, A., and M. Subrahmanyam. The Effects of Derivative Securities on the Markets for the Underlying Assets in the United States: A Survey. Working paper series. New York University, 1992, S-92-24.
13. Easley, D., and M. O'Hara. Price, Trade Size, and Information in Security Markets. Journal of Financial Economics (1987), 69-90.
14. Figlewski, S. and G. Webb. Options, Short Sales, and Market Completeness. Journal of Finance (1993), 761-778.
15. Galai, D. Tests of Market Efficiency and the Chicago Board Options Exchange. Journal of Business (1977), 167-197.
16. _. Empirical Tests of Boundary Conditions for CBOE Options. Journal of Financial Economics (1978), 187-211.
17. Glosten, L. R., and P. Milgrom. Bid, Ask and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders. Journal of Financial Economics (1985), 71-100.
18. Granger, C. W. J. Investigating Causal Relations by Econometric Models and Cross-Spectral Models. Econometrica (1969), 424-438.
19. Grossman, S. An Analysis of the Implications for Stock and Futures Price Volatility of Program Trading and Dynamic Hedging Strategies. Journal of Business (1988), 275-298.
20. Harris, L. A Day-end Transaction Price Anomaly. Journal of Financial and Quantitative Analysis (1989), 29-45.
21. Harvey, C., and R. Whaley. Dividends and S&P 100 Index Option Valuation. Journal of Futures Markets (1992), 123-137.
22. Hasbrouck, J. Trades, Quotes, Inventories, and Information. Journal of Financial Economics (1988), 229-252.
23. Ho, L. J. Option Trading and the Relation Between Price and Earnings: A Cross-Sectional Analysis. The Accounting Review (1993), 368-384.
24. Jennings, R., and L. Starks. Earnings Announcements, Stock Price Adjustment, and the Existence of Option Markets. Journal of Finance (1986), 107-125.
25. John, K., A. Koticha, and M. Subrahmanyam. The Micro-Structure of Options Markets: Informed Trading, Liquidity, Volatility and Efficiency. Working paper. New York University, 1991.
26. Kim, O., and R. Verrecchia. Market Reaction to Anticipated Announcements. Journal of Financial Economics (1991), 273-309.
27. Kross, W., and D. Schroeder. An Empirical Investigation of the Effect of Quarterly Earnings Announcement Timing on Stock Returns. Journal of Accounting Research (1994), 153-176.
28. Lee, C. M. C. Earnings News and Small Traders: An Intraday Analysis. Journal of Accounting and Economics (1992), 265-302.
29. _, and M. J. Ready. Inferring Trade Direction from Intraday Data. Journal of Finance (1991), 733-746.
30. _, B. Mucklow, and M. J. Ready. Spreads, Depths and the Impact of Earnings Information: An Intraday Analysis. Review of Financial Studies (1993), 345-374.
31. Manaster, S., and R. J. Rendleman, Jr. Option Prices as Predictors of Equilibrium Stock Prices. Journal of Finance (1982), 1043-1057.
32. Patell, J. M., and M. A. Wolfson. The Ex Ante and Ex Post Price Effects of Quarterly Earnings Announcements Reflected in Option and Stock Prices. Journal of Accounting Research (1981), 434-458.
33. _. Anticipated Information Releases Reflected in Call Option Prices. Journal of Accounting and Economics (1979), 117-140.
34. _. The Intraday Speed of Adjustment of Stock Prices to Earnings and Dividend Announcements. Journal of Financial Economics (1984), 223-252.
35. Petersen, M., and S. Umlauf. An Empirical Examination of the Intraday Behavior of the NYSE Specialist. Working paper. University of Chicago and London Business School, 1991.
36. Phillips, S. M., and C. W. Smith. Trading Costs for Listed Options. Journal of Financial Economics (1980), 179-210.
37. Schachter, B. Open Interest in Stock Options Around Quarterly Earnings Announcements. Journal of Accounting Research (1988), 353-372.
38. Seppi, D. J. Block Trading and Information Revelation around Quarterly Earnings Announcements. Review of Financial Studies (1992), 281-305.
39. Seyhun, N. H. Effectiveness of Insider Trading Sanctions. Journal of Law and Economics (1992), 149-182.
40. Sims, C. A. Money, Income, and Causality. American Economic Review (1972), 540-552.
41. Skinner, D. J. Options Markets and Stock Return Volatility. Journal of Financial Economics (1989), 61-78.
42. _. Option Markets and the Information Content of Accounting Earnings Releases. Journal of Accounting and Economics (1990), 191-211.
43. Stephan, J. A., and R. E. Whaley. Intraday Price Change and Trading Volume Relations in the Stock and Stock Option Markets. Journal of Finance (1990), 191-220.
44. Stoll, H. R. Inferring the Components of the Bid-Ask Spread: Theory and Empirical Tests. Journal of Finance (1989), 115-134.
45. Vijh, A. M. Potential Biases from Using Only Trade Prices of Related Securities on Different Exchanges: A Comment. Journal of Finance (1988), 1049-1055.
46. _. Liquidity of the CBOE Equity Options. Journal of Finance (1990), 1157-1179.
47. Whaley, R., and J. Cheung. Anticipation of Quarterly Earnings Announcements: A Test of Option Market Efficiency. Journal of Accounting and Economics (1982), 57-83.