Excess cash and equity option liquidity
研究了2005年至2019年间美国公司超额现金持有对股票期权市场流动性的影响，发现超额现金通过降低估值不确定性带来的逆向选择问题，显著提升了期权交易活跃度并缩小了买卖价差。
Abstract We examine the relation between excess corporate cash holdings and equity option market liquidity from January 3, 2005 to December 31, 2019. We show that the level of cash reserve in excess of what can be captured by firm characteristics significantly explains stock option liquidity. Trading volume and option open interest increase in companies with a higher magnitude of excess cash, whereas the bid–ask spreads of stock options decline in excess cash. Our findings confirm the theoretical prediction that excess cash improves option market liquidity as it reduces adverse selection problems caused by uncertainty in firm valuations. This relation remains more pronounced with put options, out‐of‐the‐money contracts, and short‐maturity contracts. In addition, excess cash has a stronger impact on option liquidity within firms that have a greater degree of informed trading and during high‐volatility periods in financial markets. Our results show that when uncertainty about firm prospects rises, excess cash becomes more valuable and affects option market liquidity.