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Article
The Role of the Options Market in the Dissemination of Private Information
Journal of Business Finance and Accounting
  • Timothy D. Cairney, Georgia Southern University
  • Judith Swisher, Western Michigan University
Document Type
Article
Publication Date
9-1-2004
DOI
10.1111/j.0306-686X.2004.00565.x
Disciplines
Abstract

This paper examines the role the options market plays in the dissemination of private information. We find abnormal volume in the options market for three days prior to management forecasts, controlling for concurrent equity volume. Classifying trades as long or short, we find more informed options volume relative to equity volume (1) with relatively greater options market liquidity; (2) when equity is listed on the NYSE or AMEX; (3) for larger surprises; (4) with fewer analysts; (5) for shorter times between the forecast and period end; (6) for good news forecasts; and (7) for smaller percentage institutional holdings.

Citation Information
Timothy D. Cairney and Judith Swisher. "The Role of the Options Market in the Dissemination of Private Information" Journal of Business Finance and Accounting Vol. 31 Iss. 7-8 (2004) p. 1015 - 1042 ISSN: 1468-5957
Available at: http://works.bepress.com/timothy-cairney/32/