Comparing the information in short sales and put options

被引：14

作者：

Blau B.M. ^{[1
]}

Wade C. ^{[2
]}

机构：

[1] Department of Economics and Finance, Utah State University, Logan, UT, 84322

[2] Department of Finance and Economics, Mississippi State University, Starkville, MS, 39762

来源：

Review of Quantitative Finance and Accounting | 2013年 / 41卷 / 3期

关键词：

Bearish trading activity; Informed trading; Options; Put options; Short selling;

D O I：

10.1007/s11156-013-0377-5

中图分类号：

学科分类号：

摘要：

Prior work shows that both short sales and put options contain information about future stock prices. In this study, we compare the return predictability in short sales to the return predictability in put options. The motivation for this comparison is based on the theoretical argument that informed traders can choose between short sales and put options when establishing short positions in a particular stocks. Results in this paper suggest that the underperformance of stocks with high short-selling activity is approximately four times larger than the underperformance of stocks with high put-option activity. While stocks that are most likely to face binding short-sale constraints drive the underperformance caused by put-option activity, we still find that short sales are generally more informative about future prices. © 2013 Springer Science+Business Media New York.

引用

页码：567 / 583

页数：16

共 45 条

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