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| Tekijä: | Xiaoyan Ni, S. Pearson, N.D. Poteshman, A.M. |
| Otsikko: | Stock price clustering on option expiration dates |
| Lehti: | Journal of Financial Economics
2005 : OCT, VOL. 78:1, p. 49-87 |
| Asiasana: | hedging share prices |
| Vapaa asiasana: | option expiration |
| Kieli: | eng |
| Tiivistelmä: | Striking evidence that option trading changes the prices of underlying stocks is presented in this article. Particularly, it is shown that on expiration dates the closing prices of stocks with listed options cluster at option strike prices. On each expiration date, the returns of optionable stocks are altered by an average of at least 16.5 basis points, which translates into aggregate market capitalization shifts on the order of $9 billion. |
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