Why Option Prices Lag Stock Prices: A Trading‐based Explanation
发现期权价格并不领先股票价格，Stephan和Whaley（1990）发现的股票领先现象是由期权交易不频繁造成的虚假领先，使用买卖报价均值后该现象消失，表明不存在套利机会。
ABSTRACT While many studies find that option prices lead stock prices, Stephan and Whaley (1990) find that stocks lead options. We find no evidence that options, even deep out‐of‐the‐money options, lead stocks. After confirming Stephan and Whaley's results, we show their results can be explained as spurious leads induced by infrequent trading of options. We show that the stock lead disappears when the average of the bid and ask prices is used instead of transaction prices. Hence, we find no evidence of arbitrage opportunities associated with the stock lead.