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|Title: ||Option Listing, Information Production and the Stock Price Response to
|Authors: ||Fehrs, Donald H.|
Mendenhall, Richard R.
|Issue Date: ||Dec-1994 |
|Series/Report no.: ||FIN-94-030|
|Abstract: ||This paper addresses the issue of whether investors produce more
information on firms that have listed stock options than on similar
firms that do not have options and, if so, whether this additional
information translates into a smaller stock-price reaction to releases
of public information such as earnings announcements. After correcting
for factors previously found to explain changes in two indicators of
investor interest, analyst attention and institutional ownership, we
find that firms with listed options exhibit significantly higher average
levels of each of these variables than firms without listed options.
Prior results regarding this issue are limited and contradictory. We
also find, contrary to previous research, that this additional
information production does not lead to a smaller price reaction to
earnings announcements. The remainder of the introduction discusses
prior research as well as the motivation for this study.|
|Appears in Collections:||Finance Working Papers|
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