  |
|
|
||||
|
||||
Options Trading Volume and Stock Price Response to Earnings Announcements
Charles J. Corrado Deakin University - School of Accounting, Economics & Finance Cameron Truong Monash University; University of Auckland - Department of Accounting and Finance November 17, 2009 Abstract: We examine the effect of options trading volume on the stock price response to earnings announcements over the period 1996–2007. Contrary to prior studies, we find no significant difference in the immediate stock price response to earnings information announcements between firms with listed options and firms without listed options. However, within the sample of firms with listed options, we find that higher options trading volume reduces the immediate stock price response to earnings announcements. This is consistent with evidence that the stock prices of high options trading volume firms have anticipated and pre-empted some earnings information in the pre-announcement period. We also find that abnormal options trading volume around earnings announcements hastens the stock price adjustment to earnings news. We present evidence that post-earnings announcement drift is lower for stocks of firms with high abnormal options trading volume around earnings announcements.
Keywords: Options, Trading Volume, Earnings Announcement, Stock Price JEL Classifications: G11, G14, G15, M41 Working Paper SeriesDate posted: November 23, 2009 ; Last revised: November 23, 2009Suggested CitationContact Information
|
|
||||||||||||||||||
© 2010 Social Science Electronic Publishing, Inc. All Rights Reserved.
FAQ
Terms of Use
Privacy Policy
Copyright
This page was served by apolloa 4 in 0.250 seconds.
One-Click Download
Facebook
Twitter
Digg
Del.icio.us
CiteULike
