Investor Sentiment and Return Predictability of the Option to Stock Volume Ratio
研究了投资者情绪如何影响期权与股票成交量比（O/S）对未来股票收益的预测能力，发现高情绪时期O/S的预测作用更强，且这种效应独立于消费者情绪指数。
We study the effect of investor sentiment on the relation between the option to stock volume ratio (O/S) and future stock returns. Relative option volume has return predictability under short sale constraints. For this reason, we expect and find a stronger O/S‐return relation during high sentiment periods than during low sentiment periods. We find that Baker and Wurgler's Investor Sentiment Index affects the O/S‐return relation after controlling for consumer sentiment indices and economic environment factors. While prior studies have used consumer sentiment indices as alternative measures of investor sentiment, our results suggest these effects are distinct.