The Role of the Options Market in the Dissemination of Private Information
研究期权市场如何传播私人信息，发现管理层预测前三天期权市场出现异常交易量，且知情交易在流动性高、纽交所上市、意外大、分析师少等条件下更显著。
Abstract: This paper examines the role the options market plays in the dissemination of private information. We find abnormal volume in the options market for three days prior to management forecasts, controlling for concurrent equity volume. Classifying trades as long or short, we find more informed options volume relative to equity volume (1) with relatively greater options market liquidity; (2) when equity is listed on the NYSE or AMEX; (3) for larger surprises; (4) with fewer analysts; (5) for shorter times between the forecast and period end; (6) for good news forecasts; and (7) for smaller percentage institutional holdings.