Investment horizon and option market activity
研究发现，机构投资者中短期投资者占比高的公司，其期权市场相对股票市场更活跃，且更多交易集中在高杠杆合约上；短期投资者主导时，盈余公告前的异常期权交易和期权市场统计信息含量更显著。
Abstract This paper uses a unique data set of institutional investors’ equity and equity option holdings to investigate how their investment horizons are associated with option trading and its information content. Firms with more short‐term investors have more active option markets relative to stock markets. Also, they have a greater proportion of option trading volume ascribed to high‐leveraged contracts. Furthermore, both abnormal option trading before earnings announcements and informativeness of option market statistics are more pronounced when short‐term investors predominate. These findings suggest that short‐term institutions trade leveraged contracts actively to exploit information, thus effecting price discovery in option markets.