| Status | 進行中Working |
| Does Option Trading Affect the Return Predictive Ability of Short Selling Activity? | |
Chan, K. ; Kot, H. W. ; Ni, S.X.
| |
| Abstract | We analyze the effect of option trading on return predictability of short interest. There is no difference in the return predictability of short interest ratios between stocks with and without traded options. The predictability of put-call open interest ratio (PCOIR) is weaker than the short interest ratio (SIR), and that the predictability of SIR does not change after controlling for PCOIR. While the predictability of SIR lasts for 12 months, the predictability of PCOIR disappears after the first month. Both the expected and unexpected components of SIR can predict stock returns, suggesting that the return predictability of short interest is related to both short-sale constraint and information discovery. In contrast, only the unexpected component of PCOIR, but not the expected component, can predict stock returns. |
| Keyword | Short interest ratio put-call ratio return predictability short-sale constraints |
| Language | 英語English |
| The Source to Article | PB_Publication |
| PUB ID | 37772 |
| Document Type | Conference paper |
| Collection | DEPARTMENT OF FINANCE AND BUSINESS ECONOMICS |
| Corresponding Author | Chan, K. |
| Recommended Citation GB/T 7714 | Chan, K.,Kot, H. W.,Ni, S.X.. Does Option Trading Affect the Return Predictive Ability of Short Selling Activity?[C]. |
| APA | Chan, K.., Kot, H. W.., & Ni, S.X. Does Option Trading Affect the Return Predictive Ability of Short Selling Activity?. . |
| Files in This Item: | There are no files associated with this item. | |||||
Items in the repository are protected by copyright, with all rights reserved, unless otherwise indicated.
Edit Comment