Options trading activity and firm valuation

被引：105

作者：

Roll, Richard ^{[1
]}

Schwartz, Eduardo ^{[1
]}

Subrahmanyam, Avanidhar ^{[1
]}

机构：

[1] Univ Calif Los Angeles, Anderson Sch, Los Angeles, CA 90095 USA

来源：

JOURNAL OF FINANCIAL ECONOMICS | 2009年 / 94卷 / 03期

关键词：

Options markets; Tobin's q; Trading volume; STOCK-PRICES; MARKET; INFORMATION; INSIDER; VOLUME; EARNINGS; ADJUSTMENT; EFFICIENCY; EQUATIONS; RISK;

D O I：

10.1016/j.jfineco.2009.02.002

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Options may have an effect on firm value because they help complete markets and stimulate informed trades. However, these benefits are likely to manifest themselves in active, rather than inactive, options markets. Supporting this observation, we find that firms with more options trading have higher values of Tobin's q, after accounting for other determinants of value. Corporate investment in firms with greater options trading is more sensitive to stock prices. Options trading affects firm valuation more strongly in stocks with greater information asymmetry. These results indicate that options trading is positively associated with firm values as well as information production. (C) 2009 Elsevier B.V. All rights reserved.

引用

页码：345 / 360

页数：16

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