The Relative Option to Stock Volume and Market Response to Earnings Surprises
研究了盈余公告前期权成交量相对股票成交量（O/S）如何影响市场对盈余意外的反应，发现高O/S的公司每单位盈余意外的市场反应更低，且这种差异在公告前回报较高时更明显，表明期权交易者提前消化了盈余信息。
This study examines the effect of option volume relative to stock volume (O/S) on market response to earnings surprises. The market reaction per unit of earnings surprise is lower for firms that have high O/S prior to earnings announcement than for firms with low O/S prior to earnings announcement. The difference is exacerbated for higher levels of pre-announcement returns. Results suggest informed trading by option traders stimulates preemption of the information content of earnings releases and makes earnings surprises less of a surprise. Overall, results are consistent with the view that options improve informational efficiency. Results are robust to several controls.