-
1
-
-
2942712294
-
Stealth trading in the options market
-
Syracuse University
-
Anand, Amber, and Sugato Chakravarty, 2003, Stealth trading in the options market, Working paper, Syracuse University.
-
(2003)
Working Paper
-
-
Anand, A.1
Chakravarty, S.2
-
2
-
-
14944366246
-
Speculation or insider trading: Informed trading in option markets preceding tender offer announcements
-
University of Alabama at Birmingham
-
Arnold, Tom, Gayle Erwin, Lance Nail, and Ted Bos, 2000, Speculation or insider trading: Informed trading in option markets preceding tender offer announcements, Working paper, University of Alabama at Birmingham.
-
(2000)
Working Paper
-
-
Arnold, T.1
Erwin, G.2
Nail, L.3
Bos, T.4
-
3
-
-
21344483445
-
Asymmetric information and options
-
Back, Kerry, 1993, Asymmetric information and options, Review of Financial Studies 6, 435-472.
-
(1993)
Review of Financial Studies
, vol.6
, pp. 435-472
-
-
Back, K.1
-
4
-
-
0036111832
-
Price discovery and common factor models
-
Baillie, Richard T., G. Geoffrey Booth, Yiuman Tse, and Tatyana Zabotina, 2002, Price discovery and common factor models, Journal of Financial Markets 5, 309-322.
-
(2002)
Journal of Financial Markets
, vol.5
, pp. 309-322
-
-
Baillie, R.T.1
Geoffrey Booth, G.2
Tse, Y.3
Zabotina, T.4
-
5
-
-
0001944620
-
Price changes of related securities: The case of call options and stocks
-
Bhattacharya, Mihir, 1987, Price changes of related securities: The case of call options and stocks, Journal of Financial and Quantitative Analysis 22, 1-15.
-
(1987)
Journal of Financial and Quantitative Analysis
, vol.22
, pp. 1-15
-
-
Bhattacharya, M.1
-
6
-
-
21844482887
-
Insider and liquidity trading in stock and options markets
-
Biais, Bruno, and Pierre Hillion, 1994, Insider and liquidity trading in stock and options markets, Review of Financial Studies 74, 743-780.
-
(1994)
Review of Financial Studies
, vol.74
, pp. 743-780
-
-
Biais, B.1
Hillion, P.2
-
7
-
-
0002116579
-
Fact and fantasy in the use of options
-
Black, Fisher, 1975, Fact and fantasy in the use of options, Financial Analysts Journal 31, 36-72.
-
(1975)
Financial Analysts Journal
, vol.31
, pp. 36-72
-
-
Black, F.1
-
8
-
-
0345116153
-
Trading and pricing in upstairs and downstairs stock markets
-
Booth, G. Geoffrey, Ji-Chai Lin, Teppo Martikainen, and Yiuman Tse, 2002, Trading and pricing in upstairs and downstairs stock markets, Review of Financial Studies 15, 1111-1135.
-
(2002)
Review of Financial Studies
, vol.15
, pp. 1111-1135
-
-
Booth, G.G.1
Lin, J.-C.2
Martikainen, T.3
Tse, Y.4
-
9
-
-
0030551832
-
Information, trade and derivative securities
-
Brennan, Michael J., and H. Henry Cao, 1996, Information, trade and derivative securities, Review of Financial Studies 9, 163-208.
-
(1996)
Review of Financial Studies
, vol.9
, pp. 163-208
-
-
Brennan, M.J.1
Henry Cao, H.2
-
10
-
-
0039468899
-
The informational content of option volume prior to takeovers
-
Pennsylvania State University
-
Cao, Charles, Zhiwu Chen, and John M. Griffin, 2000, The informational content of option volume prior to takeovers, Working paper, Pennsylvania State University.
-
(2000)
Working Paper
-
-
Cao, C.1
Chen, Z.2
Griffin, J.M.3
-
11
-
-
2942723243
-
Volatility trading in option market: How does it affect where informed traders trade?
-
University of Paris
-
Capelle-Blancard, Gunther, 2001, Volatility trading in option market: How does it affect where informed traders trade? Working paper, University of Paris.
-
(2001)
Working Paper
-
-
Capelle-Blancard, G.1
-
12
-
-
0031522109
-
An analysis of prices, bid/ask spreads, and bid and ask depths surrounding Ivan Boesky's illegal trading in Carnation's stock
-
Chakravarty, Sugato, and John J. McConnell, 1997, An analysis of prices, bid/ask spreads, and bid and ask depths surrounding Ivan Boesky's illegal trading in Carnation's stock, Financial Management 26, 18-24.
-
(1997)
Financial Management
, vol.26
, pp. 18-24
-
-
Chakravarty, S.1
McConnell, J.J.2
-
14
-
-
0036349739
-
The informational role of stock and option volume
-
Chan, Kalok, Y. Peter Chung, and Wai-Ming Fong, 2002, The informational role of stock and option volume, Review of Financial Studies 15, 1049-1075.
-
(2002)
Review of Financial Studies
, vol.15
, pp. 1049-1075
-
-
Chan, K.1
Peter Chung, Y.2
Fong, W.-M.3
-
15
-
-
84993660893
-
Why option prices lag stock prices: A trading based explanation
-
Chan, Kalok, Y. Peter Chung, and Herb Johnson, 1993, Why option prices lag stock prices: A trading based explanation, Journal of Finance 48, 1957-1967.
-
(1993)
Journal of Finance
, vol.48
, pp. 1957-1967
-
-
Chan, K.1
Peter Chung, Y.2
Johnson, H.3
-
16
-
-
84977708335
-
The reaction of investors and stock prices to insider trading
-
Cornell, Bradford, and Erik R. Sirri, 1992, The reaction of investors and stock prices to insider trading, Journal of Finance 47, 1031-1059.
-
(1992)
Journal of Finance
, vol.47
, pp. 1031-1059
-
-
Cornell, B.1
Sirri, E.R.2
-
17
-
-
24544469014
-
Stock market quality in the presence of a traded option
-
Erasmus University Rotterdam
-
de Jong, Cyriel, Kees G. Koedijk, and Charles R. Schnitzlein, 2001, Stock market quality in the presence of a traded option, Working paper, Erasmus University Rotterdam.
-
(2001)
Working Paper
-
-
De Jong, C.1
Koedijk, K.G.2
Schnitzlein, C.R.3
-
18
-
-
0036112241
-
Measures of contributions to price discovery: A comparison
-
de Jong, Frank, 2002, Measures of contributions to price discovery: A comparison, Journal of Financial Markets 5, 323-328.
-
(2002)
Journal of Financial Markets
, vol.5
, pp. 323-328
-
-
De Jong, F.1
-
19
-
-
0010788816
-
The relationship between stock and option price changes
-
Diltz, J. David, and Suhkyong Kim, 1996, The relationship between stock and option price changes, Financial Review 31, 499-519.
-
(1996)
Financial Review
, vol.31
, pp. 499-519
-
-
Diltz, J.D.1
Kim, S.2
-
20
-
-
0040165095
-
Option volume and stock prices: Evidence on where informed traders trade
-
Easley, David, Maureen O'Hara, and P. S. Srinivas, 1998, Option volume and stock prices: Evidence on where informed traders trade, Journal of Finance 53, 431-465.
-
(1998)
Journal of Finance
, vol.53
, pp. 431-465
-
-
Easley, D.1
O'Hara, M.2
Srinivas, P.S.3
-
21
-
-
0000013567
-
Co-integration and error correction representation, estimation, and testing
-
Engle, Robert F., Clive W. J. Granger, 1987, Co-integration and error correction representation, estimation, and testing, Econometrica 55, 251-276.
-
(1987)
Econometrica
, vol.55
, pp. 251-276
-
-
Engle, R.F.1
Granger, C.W.J.2
-
22
-
-
0000928969
-
Risk, return and equilibrium: Empirical tests
-
Fama, Eugene F., and James MacBeth, 1973, Risk, return and equilibrium: Empirical tests, Journal of Political Economy 81, 607-636.
-
(1973)
Journal of Political Economy
, vol.81
, pp. 607-636
-
-
Fama, E.F.1
MacBeth, J.2
-
23
-
-
0033128160
-
A new measure of the direction and timing of information flow between markets
-
Finucane, Thomas J., 1999, A new measure of the direction and timing of information flow between markets, Journal of Financial Markets 2, 135-151.
-
(1999)
Journal of Financial Markets
, vol.2
, pp. 135-151
-
-
Finucane, T.J.1
-
24
-
-
0030544148
-
Trading costs and the relative rates of price discovery in stock, futures, and option markets
-
Fleming, Jeff, Barbara Ostdiek, and Robert E. Whaley, 1996, Trading costs and the relative rates of price discovery in stock, futures, and option markets, Journal of Futures Markets 16, 353-387.
-
(1996)
Journal of Futures Markets
, vol.16
, pp. 353-387
-
-
Fleming, J.1
Ostdiek, B.2
Whaley, R.E.3
-
25
-
-
77957339823
-
Informed trading around merger announcements: An empirical test using transaction volume and open interest in options market
-
Frye, Melissa B., Narayanan Jayaraman, and Sanjiv Sabherwal, 2001, Informed trading around merger announcements: An empirical test using transaction volume and open interest in options market, Financial Review 36, 45-75.
-
(2001)
Financial Review
, vol.36
, pp. 45-75
-
-
Frye, M.B.1
Jayaraman, N.2
Sabherwal, S.3
-
26
-
-
0001272649
-
An analysis of the implications for stock and futures: Price volatility of program trading and dynamic hedging strategies
-
Grossman, Sanford J., 1988, An analysis of the implications for stock and futures: Price volatility of program trading and dynamic hedging strategies, Journal of Business 61, 275-298.
-
(1988)
Journal of Business
, vol.61
, pp. 275-298
-
-
Grossman, S.J.1
-
27
-
-
0036099305
-
Common factor components vs. information shares: A reply
-
Harris, Frederick H. deB., Thomas H. McInish, and Robert A. Wood, 2002, Common factor components vs. information shares: A reply, Journal of Financial Markets 5, 341-348.
-
(2002)
Journal of Financial Markets
, vol.5
, pp. 341-348
-
-
Harris, F.H.DeB.1
McInish, T.H.2
Wood, R.A.3
-
28
-
-
84993849369
-
One security, many markets: Determining the location of price discovery
-
Hasbrouck, Joel, 1995, One security, many markets: Determining the location of price discovery, Journal of Finance 50, 1175-1199.
-
(1995)
Journal of Finance
, vol.50
, pp. 1175-1199
-
-
Hasbrouck, J.1
-
29
-
-
0036111833
-
Stalking the efficient price in empirical microstructure specifications
-
Hasbrouck, Joel, 2002, Stalking the efficient price in empirical microstructure specifications, Journal of Financial Markets 5, 329-339.
-
(2002)
Journal of Financial Markets
, vol.5
, pp. 329-339
-
-
Hasbrouck, J.1
-
30
-
-
0345016441
-
Intraday price formation in the market for U.S. equity indexes
-
Hasbrouck, Joel, 2003, Intraday price formation in the market for U.S. equity indexes, Journal of Finance 58, 2375-2400.
-
(2003)
Journal of Finance
, vol.58
, pp. 2375-2400
-
-
Hasbrouck, J.1
-
31
-
-
0010122224
-
The quality of ECN and Nasdaq market maker quotes
-
Huang, Roger D., 2002, The quality of ECN and Nasdaq market maker quotes, Journal of Finance 57, 1285-1319.
-
(2002)
Journal of Finance
, vol.57
, pp. 1285-1319
-
-
Huang, R.D.1
-
32
-
-
84942458702
-
Insider trading when there is an underlying option: Cross-sectional evidence
-
University of Texas at Arlington
-
Hyland, David C., Salil K. Sarkar, and Niranjan Tripathy, 2002, Insider trading when there is an underlying option: Cross-sectional evidence, Working paper, University of Texas at Arlington.
-
(2002)
Working Paper
-
-
Hyland, D.C.1
Sarkar, S.K.2
Tripathy, N.3
-
33
-
-
0042807134
-
Margin rules, informed trading in derivatives and price dynamics
-
New York University
-
John, Kose, Apoorva Koticha, Ranga Narayanan, and Marti Subrahmanyam, 2000, Margin rules, informed trading in derivatives and price dynamics, Working paper, New York University.
-
(2000)
Working Paper
-
-
John, K.1
Koticha, A.2
Narayanan, R.3
Subrahmanyam, M.4
-
34
-
-
33748040192
-
Informed trading and option spreads
-
University of Michigan
-
Kaul, Gautman, Mahendrarajah Nimalendran, and Donghang Zhang, 2002, Informed trading and option spreads, Working paper, University of Michigan.
-
(2002)
Working Paper
-
-
Kaul, G.1
Nimalendran, M.2
Zhang, D.3
-
35
-
-
0030521058
-
Heterogeneous beliefs and the effect of replicatable options on asset prices
-
Kraus, Alan, and Maxwell Smith, 1996, Heterogeneous beliefs and the effect of replicatable options on asset prices, Review of Financial Studies 9, 723-756.
-
(1996)
Review of Financial Studies
, vol.9
, pp. 723-756
-
-
Kraus, A.1
Smith, M.2
-
36
-
-
84942458704
-
Quarterly earnings announcements and the lead/lag relationship between the stock and option markets
-
McMaster University
-
Krinsky, Itzhak, and Jason Lee, 1997, Quarterly earnings announcements and the lead/lag relationship between the stock and option markets, Working paper, McMaster University.
-
(1997)
Working Paper
-
-
Krinsky, I.1
Lee, J.2
-
37
-
-
84977737302
-
The behavior of option price around large block transactions in the underlying security
-
Kumar, Raman, Atulya Sarin, and Kuldeep Shastri, 1992, The behavior of option price around large block transactions in the underlying security, Journal of Finance 47, 879-889.
-
(1992)
Journal of Finance
, vol.47
, pp. 879-889
-
-
Kumar, R.1
Sarin, A.2
Shastri, K.3
-
38
-
-
0035732032
-
Trade size and information-motivated trading in the options and stock markets
-
Lee, Jason, and Cheong H. Yi, 2001. Trade size and information-motivated trading in the options and stock markets, Journal of Financial and Quantitative Analysis 36, 485-501.
-
(2001)
Journal of Financial and Quantitative Analysis
, vol.36
, pp. 485-501
-
-
Lee, J.1
Yi, C.H.2
-
39
-
-
0036099041
-
Some desiderata for the measurement of price discovery across markets
-
Lehmann, Bruce N., 2002, Some desiderata for the measurement of price discovery across markets, Journal of Financial Markets 5, 259-276.
-
(2002)
Journal of Financial Markets
, vol.5
, pp. 259-276
-
-
Lehmann, B.N.1
-
40
-
-
0000255440
-
Option prices as predictors of equilibrium stock prices
-
Manaster, Steven, and Richard J. Rendleman Jr., 1982, Option prices as predictors of equilibrium stock prices, Journal of Finance 37, 1043-1057.
-
(1982)
Journal of Finance
, vol.37
, pp. 1043-1057
-
-
Manaster, S.1
Rendleman Jr., R.J.2
-
41
-
-
84993840391
-
The allocation of informed trading across related markets: An analysis of the impact of changes in equity-option margin requirements
-
Mayhew, Stewart, Atulya Sarin, and Kuldeep Shastri, 1996, The allocation of informed trading across related markets: An analysis of the impact of changes in equity-option margin requirements, Journal of Finance 55, 1635-1654.
-
(1996)
Journal of Finance
, vol.55
, pp. 1635-1654
-
-
Mayhew, S.1
Sarin, A.2
Shastri, K.3
-
42
-
-
0000706085
-
A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix
-
Newey, Whitney, and Kenneth West, 1987, A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix, Econometrica 55, 703-708.
-
(1987)
Econometrica
, vol.55
, pp. 703-708
-
-
Newey, W.1
West, K.2
-
43
-
-
2942734101
-
The cross-sectional relationship between trading costs and lead/lag effects in stock & option markets
-
O'Connor, Matthew L., 1999, The cross-sectional relationship between trading costs and lead/lag effects in stock & option markets, Financial Review 34, 95-117.
-
(1999)
Financial Review
, vol.34
, pp. 95-117
-
-
O'Connor, M.L.1
-
44
-
-
2942726994
-
The information in option volume for stock prices
-
MIT
-
Pan, Jun, and Alan M. Poteshman, 2003, The information in option volume for stock prices, Working paper, MIT.
-
(2003)
Working Paper
-
-
Pan, J.1
Poteshman, A.M.2
-
45
-
-
84928840398
-
Securities regulation for a changing market: Option trader standing under Rule 10b-5
-
Sacksteder, Elizabeth M., 1988, Securities regulation for a changing market: Option trader standing under Rule 10b-5, Yale Law Journal 97, 623-642.
-
(1988)
Yale Law Journal
, vol.97
, pp. 623-642
-
-
Sacksteder, E.M.1
-
46
-
-
84977712723
-
Intraday price change and trading volume relations in the stock and stock option markets
-
Stephan, Jens A., and Robert E. Whaley, 1990, Intraday price change and trading volume relations in the stock and stock option markets, Journal of Finance 45, 191-220.
-
(1990)
Journal of Finance
, vol.45
, pp. 191-220
-
-
Stephan, J.A.1
Whaley, R.E.2
-
47
-
-
84977701282
-
Liquidity of the CBOE equity options
-
Vijh, Anand M., 1990, Liquidity of the CBOE equity options, Journal of Finance 45, 1157-1179.
-
(1990)
Journal of Finance
, vol.45
, pp. 1157-1179
-
-
Vijh, A.M.1
|