The Effect of Options on Stock Prices: 1973 to 1995
发现期权上市对标的股票价格的影响在1981年前后发生反转：1973-1980年上市带来正异常收益，1981年后则带来负异常收益，可能原因包括指数期权推出、监管变化或期权加速负面信息传播。
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.