Earnings Announcements, Stock Price Adjustment, and the Existence of Option Markets
研究期权交易对标的股票价格行为的影响，通过比较有期权和无期权公司对季度盈利公告的价格调整过程，发现无期权公司需要更长时间完成调整。
ABSTRACT This paper employs a new approach to study the effects of option trading on the behavior of underlying stock prices. Extant research compares distributional properties of the stock price at two points in time divided by an event in the option market that might affect price behavior. As an alternative, we examine the stock price adjustment to the release of quarterly earnings using samples of firms with and without listed options. We find the two samples exhibit different adjustment processes, with the nonoption firms requiring substantially more time to adjust.