Trade Size and Information-Motivated Trading in the Options and Stock Markets
研究期权和股票市场中不同交易规模下的信息驱动交易，发现小投资者主要在期权市场进行信息交易，而大投资者在有信息时不一定选择期权。
This study investigates the extent of information-motivated trading conditional on trade size in the options and stock markets. We find envidence that the options market is the primary venue for information trading only for small investors, whereas large ivestors do not necessarily trade options rather than stocks when they are informed. With different trading mechanisms in the stock and options markets, this finding implies that investors, when facing different impediments to information-related trading, select different vehicles to exploit their information. We also show that the adverse selection component of the bid-ask spread decreases with option delta, implying that options with greater finanical leverage attract more informed investors. Overall, our results reinforce the notion that the options market is a venue for information-motivated trading.