Stern School of Business >
Finance Working Papers >
Please use this identifier to cite or link to this item:
|Title: ||Option Listing, Information Production and the Stock Price Response to Earnings Announcements|
|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|
Items in Faculty Digital Archive are protected by copyright, with all rights reserved, unless otherwise indicated.