MARC Record from Library of Congress

LEADER: 02071cam a22003137a 4500
001 2005615819
003 DLC
005 20050113135842.0
007 cr |||||||||||
008 050113s2004 mau sb 000 0 eng
010 $a 2005615819
040 $aDLC$cDLC
050 00 $aHB1
100 1 $aPan, Jun.
245 14 $aThe information of option volume for future stock prices$h[electronic resource] /$cJun Pan, Allen Poteshman.
260 $aCambridge, MA :$bNational Bureau of Economic Research,$cc2004.
490 1 $aNBER working paper series ;$vworking paper 10925
538 $aSystem requirements: Adobe Acrobat Reader.
538 $aMode of access: World Wide Web.
500 $aTitle from PDF file as viewed on 1/13/2005.
530 $aAlso available in print.
504 $aIncludes bibliographical references.
520 3 $a"We present strong evidence that option trading volume contains information about future stock price movements. Taking advantage of a unique dataset from the Chicago Board Options Exchange, we construct put-call ratios from option volume initiated by buyers to open new positions. On a risk-adjusted basis, stocks with low put-call ratios outperform stocks with high put-call ratios by more than 40 basis points on the next day and more than 1% over the next week. Partitioning our option signals into components that are publicly and non-publicly observable, we find that the economic source of this predictability is non-public information possessed by option traders rather than market inefficiency. We also find greater predictability from option signals for stocks with higher concentrations of informed traders and from option contracts with greater leverage"--National Bureau of Economic Research web site.
650 0 $aOptions (Finance)
650 0 $aStock price forecasting.
700 1 $aPoteshman, Allen M.
710 2 $aNational Bureau of Economic Research.
830 0 $aWorking paper series (National Bureau of Economic Research : Online) ;$vworking paper no. 10925.
856 40 $uhttp://papers.nber.org/papers/w10925