IDEAS home Printed from https://ideas.repec.org/a/wly/jfutmk/v37y2017i9p892-912.html
   My bibliography  Save this article

Option Introductions and the Skewness of Stock Returns

Author

Listed:
  • Benjamin M. Blau
  • Ryan J. Whitby

Abstract

The decision to introduce options for stocks is made by exchanges with the intention of selecting stocks that will generate the most option trading activity. This study hypothesizes that exchanges will introduce options for stocks with positive skewness. The motivation for our tests is based on the idea that some investors have preferences for skewness and the payoff structure of options is conducive to these types of preferences. Results show that the likelihood of introducing options is increasing in the level of return skewness. We also find that stocks with the most pre‐introduction skewness generate the most post‐listing option volume. © 2017 Wiley Periodicals, Inc. Jrl Fut Mark 37:892–912, 2017

Suggested Citation

  • Benjamin M. Blau & Ryan J. Whitby, 2017. "Option Introductions and the Skewness of Stock Returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 37(9), pages 892-912, September.
    • Handle: RePEc:wly:jfutmk:v:37:y:2017:i:9:p:892-912
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Drobetz, Wolfgang & Mussbach, Emil & Westheide, Christian, 2020. "Corporate insider trading and return skewness," Journal of Corporate Finance, Elsevier, vol. 60(C).

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wly:jfutmk:v:37:y:2017:i:9:p:892-912. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.interscience.wiley.com/jpages/0270-7314/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.