Why Do Option Introductions Depress Stock Prices? A Study of Diminishing Short Sale Constraints
发现1980年后期权上市导致标的股票负异常收益，且卖空活动增加，表明期权上市缓解了卖空约束，异常收益和卖空变化可通过股票事前特征预测。
Early studies find that option introductions tend to raise the price of underlying stocks. More recent research indicates that post-1980 option introductions are associated with negative abnormal returns in underlying stocks. Other studies document increased short sale activities following option listing. This paper provides evidence that the documented abnormal returns and changes in short interest around option listings are consistent with the mitigation of short sale constraints resulting from the option introduction, and that both the abnormal returns and short interest changes around listing dates can be predicted using ex ante characteristics of the underlying stock.