haku: @author Draper, P. / yhteensä: 7
viite: 6 / 7
| Tekijä: | Watt, W. H. Yadav, P. K. Draper, P. |
| Otsikko: | The impact of option listing on underlying stock returns: the UK evidence. |
| Lehti: | Journal of Business Finance and Accounting
1992 : JUN, VOL. 19:4, p. 485-503 |
| Asiasana: | OPTIONS STOCK RETURNS UNITED KINGDOM FINANCIAL MODELS |
| Kieli: | eng |
| Tiivistelmä: | This paper analyses UK evidence on the impact of option listing on the returns' process of underlying stocks. In particular, it examines the existence of 'abnormal returns', and the effect of options listing on the systematic risk, unsystematic risk, total risk, skewness and kurtosis of the returns' distribution, as well as the effect on the efficiency of adjustment of prices to new information. The empirical results suggest that the options market is making a significant contribution to financial markets by reducing firm specific and total volatility of high risk stocks, and increasing the efficiency with which new information, particularly negative information, is incorporated into prices. |
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