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Discussion of Option Prices Leading Equity Prices: Do Option Traders Have an Information Advantage

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  • ANDREW VAN BUSKIRK

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  • Andrew Van Buskirk, 2012. "Discussion of Option Prices Leading Equity Prices: Do Option Traders Have an Information Advantage," Journal of Accounting Research, Wiley Blackwell, vol. 50(2), pages 433-442, May.
    • Handle: RePEc:bla:joares:v:50:y:2012:i:2:p:433-442
    DOI: 10.1111/j.1475-679X.2012.00445.x
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    References listed on IDEAS

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    1. Jun Pan & Allen M. Poteshman, 2006. "The Information in Option Volume for Future Stock Prices," The Review of Financial Studies, Society for Financial Studies, vol. 19(3), pages 871-908.
    2. Hasbrouck, Joel, 1995. "One Security, Many Markets: Determining the Contributions to Price Discovery," Journal of Finance, American Finance Association, vol. 50(4), pages 1175-1199, September.
    3. Lauren Cohen & Andrea Frazzini & Christopher Malloy, 2008. "The Small World of Investing: Board Connections and Mutual Fund Returns," Journal of Political Economy, University of Chicago Press, vol. 116(5), pages 951-979, October.
    4. Rosenthal, Leonard & Young, Colin, 1990. "The seemingly anomalous price behavior of Royal Dutch/Shell and Unilever N.V./PLC," Journal of Financial Economics, Elsevier, vol. 26(1), pages 123-141, July.
    5. Charles Cao & Zhiwu Chen & John M. Griffin, 2005. "Informational Content of Option Volume Prior to Takeovers," The Journal of Business, University of Chicago Press, vol. 78(3), pages 1073-1109, May.
    6. Bernard, Vl & Thomas, Jk, 1989. "Post-Earnings-Announcement Drift - Delayed Price Response Or Risk Premium," Journal of Accounting Research, Wiley Blackwell, vol. 27, pages 1-36.
    7. Chen, Xia & Cheng, Qiang & Lo, Kin, 2010. "On the relationship between analyst reports and corporate disclosures: Exploring the roles of information discovery and interpretation," Journal of Accounting and Economics, Elsevier, vol. 49(3), pages 206-226, April.
    8. Kaushik I. Amin & Charles M. C. Lee, 1997. "Option Trading, Price Discovery, and Earnings News Dissemination," Contemporary Accounting Research, John Wiley & Sons, vol. 14(2), pages 153-192, June.
    9. Long, John Jr., 1978. "The market valuation of cash dividends : A case to consider," Journal of Financial Economics, Elsevier, vol. 6(2-3), pages 235-264.
    10. repec:bla:jfinan:v:58:y:2003:i:2:p:549-576 is not listed on IDEAS
    11. deB. Harris, Frederick H. & McInish, Thomas H. & Shoesmith, Gary L. & Wood, Robert A., 1995. "Cointegration, Error Correction, and Price Discovery on Informationally Linked Security Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(4), pages 563-579, December.
    12. Rubinstein, Mark, 1994. "Implied Binomial Trees," Journal of Finance, American Finance Association, vol. 49(3), pages 771-818, July.
    13. Garbade, Kenneth D & Silber, William L, 1979. "Dominant and Satellite Markets: A Study of Dually-Traded Securities," The Review of Economics and Statistics, MIT Press, vol. 61(3), pages 455-460, August.
    14. Wen Jin & Joshua Livnat & Yuan Zhang, 2012. "Option Prices Leading Equity Prices: Do Option Traders Have an Information Advantage?," Journal of Accounting Research, Wiley Blackwell, vol. 50(2), pages 401-432, May.
    15. Xing, Yuhang & Zhang, Xiaoyan & Zhao, Rui, 2010. "What Does the Individual Option Volatility Smirk Tell Us About Future Equity Returns?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 45(3), pages 641-662, June.
    16. James S. Doran & Andy Fodor & Kevin Krieger, 2010. "Option Market Efficiency and Analyst Recommendations," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 37(5-6), pages 560-590.
    17. Mark Rubinstein., 1994. "Implied Binomial Trees," Research Program in Finance Working Papers RPF-232, University of California at Berkeley.
    18. Cheol S. Eun & Sanjiv Sabherwal, 2003. "Cross‐Border Listings and Price Discovery: Evidence from U.S.‐Listed Canadian Stocks," Journal of Finance, American Finance Association, vol. 58(2), pages 549-575, April.
    19. Kim, Minho & Szakmary, Andrew C. & Mathur, Ike, 2000. "Price transmission dynamics between ADRs and their underlying foreign securities," Journal of Banking & Finance, Elsevier, vol. 24(8), pages 1359-1382, August.
    20. Manaster, Steven & Rendleman, Richard J, Jr, 1982. "Option Prices as Predictors of Equilibrium Stock Prices," Journal of Finance, American Finance Association, vol. 37(4), pages 1043-1057, September.
    21. repec:bla:jfinan:v:59:y:2004:i:3:p:1235-1258 is not listed on IDEAS
    22. James S. Doran & Andy Fodor & Kevin Krieger, 2010. "Option Market Efficiency and Analyst Recommendations," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 37(5‐6), pages 560-590, June.
    23. repec:bla:jfinan:v:59:y:2004:i:2:p:711-753 is not listed on IDEAS
    24. Garbade, Kenneth D & Silber, William L, 1976. "Price Dispersion in the Government Securities Market," Journal of Political Economy, University of Chicago Press, vol. 84(4), pages 721-740, August.
    25. Bates, David S., 2000. "Post-'87 crash fears in the S&P 500 futures option market," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 181-238.
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