Options and the Bubble
利用1999-2000年互联网泡沫高峰期的日内期权数据，检验卖空限制是否导致期权与股票价格脱节，发现合成股票价格与实际价格几乎无差异，且公众可通过期权低成本做空，因此卖空限制并未影响互联网股票价格。
ABSTRACT Many believe that a bubble existed in Internet stocks in the 1999 to 2000 period, and that short‐sale restrictions prevented rational investors from driving Internet stock prices to reasonable levels. In the presence of such short‐sale constraints, option and stock prices could decouple during a bubble. Using intraday options data from the peak of the Internet bubble, we find almost no evidence that synthetic stock prices diverged from actual stock prices. We also show that the general public could cheaply short synthetically using options. In summary, we find no evidence that short‐sale restrictions affected Internet stock prices.