Options Trading and Stock Price Informativeness
利用美国小额期权试点计划作为外生冲击，研究发现期权交易提高了股票价格的信息含量，并促进了期权和股票投资者的信息获取。
Abstract We document the causal effects of single-name options trading on the absolute level of information content of prices (stock price informativeness) by exploiting the Penny Pilot Program as an exogenous shock to options trading volume. We find that options trading increases underlying stock price informativeness and information acquisition by both option and stock investors, consistent with the framework of Goldstein and Yang (2015). The findings are driven by firms for which options are more important sources of information and firms with more efficiently priced options. Options market introduction in a sample of 25 other economies also leads to higher price informativeness.