Are put-call ratios a substitute for short sales?

被引:12
作者
Blau, Benjamin M. [1 ]
Brough, Tyler J. [1 ]
机构
[1] Utah State Univ, Huntsman Sch Business, Logan, UT 84322 USA
关键词
Options; Short sales; Short sale constraints; Informed trading; OPTION VOLUME; STOCK-PRICES; MARKET; IMPACT;
D O I
10.1007/s11147-014-9102-3
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
Prior research argues that pessimistic traders can use options as substitutes for short sales particularly when stocks are expensive to short. Motivated by this contention, we examine the relation between put-call ratios, short-selling activity, and constraints to short selling. Results show that (1) put-call ratios are inversely related, instead of directly related, to proxies for short-sale constraints and (2) the significant negative relation between current put-call ratios and future returns (Pan and Poteshman in Rev Financ Stud 19:871-908, 2006) is orthogonal to proxies for short-sale constraints. These results indicate that short-sale constraints do not influence bearish option activity. While prior studies show that short sellers are generally contrarian in contemporaneous and past returns, we find that put-call ratios follow periods of negative returns. However, any observed return predictability contained in put-call ratios is driven by ratios that follow periods of positive returns.
引用
收藏
页码:51 / 73
页数:23
相关论文
共 27 条
[1]   Short sales are almost instantaneously bad news: Evidence from the Australian Stock Exchange [J].
Aitken, MJ ;
Frino, A ;
McCorry, MS ;
Swan, PL .
JOURNAL OF FINANCE, 1998, 53 (06) :2205-2223
[2]  
[Anonymous], 2010, WORKING PAPER
[3]   Short interest, institutional ownership, and stock returns [J].
Asquith, P ;
Pathak, PA ;
Ritter, JR .
JOURNAL OF FINANCIAL ECONOMICS, 2005, 78 (02) :243-276
[4]   The impact of trades on daily volatility [J].
Avramov, Doron ;
Chordia, Tarun ;
Goyal, Amit .
REVIEW OF FINANCIAL STUDIES, 2006, 19 (04) :1241-1277
[5]   Returns of claims on the upside and the viability of U-shaped pricing kernels [J].
Bakshi, Gurdip ;
Madan, Dilip ;
Panayotov, George .
JOURNAL OF FINANCIAL ECONOMICS, 2010, 97 (01) :130-154
[6]  
Black F., 1975, Financ. Anal. J, V31, P36, DOI [10.2469/faj.v31.n4.36, DOI 10.2469/FAJ.V31.N4.36]
[7]  
Blau B. M., 2014, J FINANCIAL QUANTITA
[8]  
Bodie Z., 2009, Investments
[9]   Which shorts are informed? [J].
Boehmer, Ekkehart ;
Jones, Charles M. ;
Zhang, Xiaoyan .
JOURNAL OF FINANCE, 2008, 63 (02) :491-527
[10]   TRADING VOLUME AND SERIAL-CORRELATION IN STOCK RETURNS [J].
CAMPBELL, JY ;
GROSSMAN, SJ ;
WANG, J .
QUARTERLY JOURNAL OF ECONOMICS, 1993, 108 (04) :905-939