Price Changes of Related Securities: The Case of Call Options and Stocks
利用期权交易数据检验期权价格是否包含股票价格未反映的信息，发现日内持有期期权对股票价格的预测幅度不足以覆盖买卖价差，并讨论了隔夜持有期的盈利含义。
This paper tests the hypothesis that option prices contain information not reflected in con? temporaneous stock prices. An options transactions data base is used for the purpose. The evidence suggests that the magnitude of anticipation of stock prices by option prices is insufficient to overcome the bid/ask spread for intra-day holding periods. Implications of the profits in the overnight-holding periods are discussed.