Loading…

The Effect of Options on Stock Prices: 1973 to 1995

I show that the effect of option introductions on underlying stock prices is best described by a two-regime switching means model whose optimal switch date occurs in 1981. In accordance with previous studies, I find positive abnormal returns for options listed during 1973 to 1980. By contrast, I fin...

Full description

Saved in:

Bibliographic Details
Published in:	The Journal of finance (New York) 2000-02, Vol.55 (1), p.487-514
Main Author:	Sorescu, Sorin M.
Format:	Article
Language:	English
Subjects:	Call options Coefficients Effects Estimation methods Financial securities Options contracts Options markets Securities markets Security portfolios Shorter Papers Statistical median Stock exchanges Stock options Stock prices Studies
Citations:	Items that this one cites Items that cite this one
Online Access:	Get full text
Tags:	Add Tag No Tags, Be the first to tag this record!

cited_by	cdi_FETCH-LOGICAL-a4534-f293ba83408a18c4588c6831d4bf7b4b404d9caa9c75b615fdc5c7ee9fa60e503
cites	cdi_FETCH-LOGICAL-a4534-f293ba83408a18c4588c6831d4bf7b4b404d9caa9c75b615fdc5c7ee9fa60e503
container_end_page	514
container_issue	1
container_start_page	487
container_title	The Journal of finance (New York)
container_volume	55
creator	Sorescu, Sorin M.
description	I show that the effect of option introductions on underlying stock prices is best described by a two-regime switching means model whose optimal switch date occurs in 1981. In accordance with previous studies, I find positive abnormal returns for options listed during 1973 to 1980. By contrast, I find negative abnormal returns for options listed in 1981 and later. Possible causes for this switch include the introduction of index options in 1982, the implementation of regulatory changes in 1981, and the possibility that options expedite the dissemination of negative information.
doi_str_mv	10.1111/0022-1082.00214
format	article
fullrecord	<record><control><sourceid>jstor_proqu</sourceid><recordid>TN_cdi_proquest_journals_194718405</recordid><sourceformat>XML</sourceformat><sourcesystem>PC</sourcesystem><jstor_id>222564</jstor_id><sourcerecordid>222564</sourcerecordid><originalsourceid>FETCH-LOGICAL-a4534-f293ba83408a18c4588c6831d4bf7b4b404d9caa9c75b615fdc5c7ee9fa60e503</originalsourceid><addsrcrecordid>eNqFkM1PAjEQxRujiYiePXhpvC_0e7veDPJliBhBPTbd0sYFpNAuUf57d13D1bm8Sd77zWQGgGuMOriqLkKEJBhJ0qk6zE5AC3OGEkEEPgWto3sOLmJcoro4bwE6_7Cw75w1JfQOTrdl4TcR-g2cld6s4HMojI13EGcphaWvNOOX4MzpdbRXf9oGr4P-vDdKJtPhuHc_STTjlCWOZDTXkjIkNZaGcSmNkBQvWO7SnOUMsUVmtM5MynOBuVsYblJrM6cFshzRNrht5m6D3-1tLNXS78OmWqlwxlIsGeJVqNuETPAxBuvUNhSfOhwURqp-jKpPV_Xp6vcxFcEa4qtY28N_cfU4HYwb7KbBlrH04YgRQrio3aRxi1ja76Orw0qJlKZcvT8N1Qy9vYzEgKkH-gOdHXhx</addsrcrecordid><sourcetype>Aggregation Database</sourcetype><iscdi>true</iscdi><recordtype>article</recordtype><pqid>194718405</pqid></control><display><type>article</type><title>The Effect of Options on Stock Prices: 1973 to 1995</title><source>International Bibliography of the Social Sciences (IBSS)</source><source>Wiley</source><source>JSTOR Archival Journals</source><creator>Sorescu, Sorin M.</creator><creatorcontrib>Sorescu, Sorin M.</creatorcontrib><description>I show that the effect of option introductions on underlying stock prices is best described by a two-regime switching means model whose optimal switch date occurs in 1981. In accordance with previous studies, I find positive abnormal returns for options listed during 1973 to 1980. By contrast, I find negative abnormal returns for options listed in 1981 and later. Possible causes for this switch include the introduction of index options in 1982, the implementation of regulatory changes in 1981, and the possibility that options expedite the dissemination of negative information.</description><identifier>ISSN: 0022-1082</identifier><identifier>EISSN: 1540-6261</identifier><identifier>DOI: 10.1111/0022-1082.00214</identifier><identifier>CODEN: JLFIAN</identifier><language>eng</language><publisher>Boston, USA and Oxford, UK: Blackwell Publishers, Inc</publisher><subject>Call options ; Coefficients ; Effects ; Estimation methods ; Financial securities ; Options contracts ; Options markets ; Securities markets ; Security portfolios ; Shorter Papers ; Statistical median ; Stock exchanges ; Stock options ; Stock prices ; Studies</subject><ispartof>The Journal of finance (New York), 2000-02, Vol.55 (1), p.487-514</ispartof><rights>Copyright 2000 American Finance Association</rights><rights>2000 the American Finance Association</rights><rights>Copyright Blackwell Publishers Inc. Feb 2000</rights><lds50>peer_reviewed</lds50><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-a4534-f293ba83408a18c4588c6831d4bf7b4b404d9caa9c75b615fdc5c7ee9fa60e503</citedby><cites>FETCH-LOGICAL-a4534-f293ba83408a18c4588c6831d4bf7b4b404d9caa9c75b615fdc5c7ee9fa60e503</cites></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktopdf>$$Uhttps://www.jstor.org/stable/pdf/222564$$EPDF$$P50$$Gjstor$$H</linktopdf><linktohtml>$$Uhttps://www.jstor.org/stable/222564$$EHTML$$P50$$Gjstor$$H</linktohtml><link.rule.ids>314,778,782,27907,27908,33206,58221,58454</link.rule.ids></links><search><creatorcontrib>Sorescu, Sorin M.</creatorcontrib><title>The Effect of Options on Stock Prices: 1973 to 1995</title><title>The Journal of finance (New York)</title><description>I show that the effect of option introductions on underlying stock prices is best described by a two-regime switching means model whose optimal switch date occurs in 1981. In accordance with previous studies, I find positive abnormal returns for options listed during 1973 to 1980. By contrast, I find negative abnormal returns for options listed in 1981 and later. Possible causes for this switch include the introduction of index options in 1982, the implementation of regulatory changes in 1981, and the possibility that options expedite the dissemination of negative information.</description><subject>Call options</subject><subject>Coefficients</subject><subject>Effects</subject><subject>Estimation methods</subject><subject>Financial securities</subject><subject>Options contracts</subject><subject>Options markets</subject><subject>Securities markets</subject><subject>Security portfolios</subject><subject>Shorter Papers</subject><subject>Statistical median</subject><subject>Stock exchanges</subject><subject>Stock options</subject><subject>Stock prices</subject><subject>Studies</subject><issn>0022-1082</issn><issn>1540-6261</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2000</creationdate><recordtype>article</recordtype><sourceid>8BJ</sourceid><recordid>eNqFkM1PAjEQxRujiYiePXhpvC_0e7veDPJliBhBPTbd0sYFpNAuUf57d13D1bm8Sd77zWQGgGuMOriqLkKEJBhJ0qk6zE5AC3OGEkEEPgWto3sOLmJcoro4bwE6_7Cw75w1JfQOTrdl4TcR-g2cld6s4HMojI13EGcphaWvNOOX4MzpdbRXf9oGr4P-vDdKJtPhuHc_STTjlCWOZDTXkjIkNZaGcSmNkBQvWO7SnOUMsUVmtM5MynOBuVsYblJrM6cFshzRNrht5m6D3-1tLNXS78OmWqlwxlIsGeJVqNuETPAxBuvUNhSfOhwURqp-jKpPV_Xp6vcxFcEa4qtY28N_cfU4HYwb7KbBlrH04YgRQrio3aRxi1ja76Orw0qJlKZcvT8N1Qy9vYzEgKkH-gOdHXhx</recordid><startdate>200002</startdate><enddate>200002</enddate><creator>Sorescu, Sorin M.</creator><general>Blackwell Publishers, Inc</general><general>Blackwell Publishers</general><general>Blackwell Publishers Inc</general><scope>BSCLL</scope><scope>AAYXX</scope><scope>CITATION</scope><scope>8BJ</scope><scope>FQK</scope><scope>JBE</scope></search><sort><creationdate>200002</creationdate><title>The Effect of Options on Stock Prices: 1973 to 1995</title><author>Sorescu, Sorin M.</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-a4534-f293ba83408a18c4588c6831d4bf7b4b404d9caa9c75b615fdc5c7ee9fa60e503</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2000</creationdate><topic>Call options</topic><topic>Coefficients</topic><topic>Effects</topic><topic>Estimation methods</topic><topic>Financial securities</topic><topic>Options contracts</topic><topic>Options markets</topic><topic>Securities markets</topic><topic>Security portfolios</topic><topic>Shorter Papers</topic><topic>Statistical median</topic><topic>Stock exchanges</topic><topic>Stock options</topic><topic>Stock prices</topic><topic>Studies</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Sorescu, Sorin M.</creatorcontrib><collection>Istex</collection><collection>CrossRef</collection><collection>International Bibliography of the Social Sciences (IBSS)</collection><collection>International Bibliography of the Social Sciences</collection><collection>International Bibliography of the Social Sciences</collection><jtitle>The Journal of finance (New York)</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Sorescu, Sorin M.</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>The Effect of Options on Stock Prices: 1973 to 1995</atitle><jtitle>The Journal of finance (New York)</jtitle><date>2000-02</date><risdate>2000</risdate><volume>55</volume><issue>1</issue><spage>487</spage><epage>514</epage><pages>487-514</pages><issn>0022-1082</issn><eissn>1540-6261</eissn><coden>JLFIAN</coden><abstract>I show that the effect of option introductions on underlying stock prices is best described by a two-regime switching means model whose optimal switch date occurs in 1981. In accordance with previous studies, I find positive abnormal returns for options listed during 1973 to 1980. By contrast, I find negative abnormal returns for options listed in 1981 and later. Possible causes for this switch include the introduction of index options in 1982, the implementation of regulatory changes in 1981, and the possibility that options expedite the dissemination of negative information.</abstract><cop>Boston, USA and Oxford, UK</cop><pub>Blackwell Publishers, Inc</pub><doi>10.1111/0022-1082.00214</doi><tpages>28</tpages></addata></record>
fulltext	fulltext
identifier	ISSN: 0022-1082
ispartof	The Journal of finance (New York), 2000-02, Vol.55 (1), p.487-514
issn	0022-1082 1540-6261
language	eng
recordid	cdi_proquest_journals_194718405
source	International Bibliography of the Social Sciences (IBSS); Wiley; JSTOR Archival Journals
subjects	Call options Coefficients Effects Estimation methods Financial securities Options contracts Options markets Securities markets Security portfolios Shorter Papers Statistical median Stock exchanges Stock options Stock prices Studies
title	The Effect of Options on Stock Prices: 1973 to 1995
url	http://sfxeu10.hosted.exlibrisgroup.com/loughborough?ctx_ver=Z39.88-2004&ctx_enc=info:ofi/enc:UTF-8&ctx_tim=2025-01-16T21%3A57%3A55IST&url_ver=Z39.88-2004&url_ctx_fmt=infofi/fmt:kev:mtx:ctx&rfr_id=info:sid/primo.exlibrisgroup.com:primo3-Article-jstor_proqu&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.genre=article&rft.atitle=The%20Effect%20of%20Options%20on%20Stock%20Prices:%201973%20to%201995&rft.jtitle=The%20Journal%20of%20finance%20(New%20York)&rft.au=Sorescu,%20Sorin%20M.&rft.date=2000-02&rft.volume=55&rft.issue=1&rft.spage=487&rft.epage=514&rft.pages=487-514&rft.issn=0022-1082&rft.eissn=1540-6261&rft.coden=JLFIAN&rft_id=info:doi/10.1111/0022-1082.00214&rft_dat=%3Cjstor_proqu%3E222564%3C/jstor_proqu%3E%3Cgrp_id%3Ecdi_FETCH-LOGICAL-a4534-f293ba83408a18c4588c6831d4bf7b4b404d9caa9c75b615fdc5c7ee9fa60e503%3C/grp_id%3E%3Coa%3E%3C/oa%3E%3Curl%3E%3C/url%3E&rft_id=info:oai/&rft_pqid=194718405&rft_id=info:pmid/&rft_jstor_id=222564&rfr_iscdi=true