The Price Effect of Option Introduction
研究1974至1980年间个股期权上市对标的证券价格的影响，发现期权上市导致标的证券价格永久性上涨，且波动率下降，系统性风险不变。
ABSTRACT This paper examines the price effect of option introduction from 1974 to 1980. The introduction of individual options causes a permanent price increase in the underlying security, beginning approximately three days before introduction. The price effect appears to be associated with introduction, and not announcement, throughout the sample period. Excess returns volatility declines with option introduction. Systematic risk is unchanged. There is a positive relation between the price increase and a measure of activity in the options market.