Synthetic long stock and option trading: Evidence from stock splits
从理论和实证上识别出合成多头股票是期权交易的一个替代驱动因素，利用股票拆分事件研究发现，资本受限交易者使用合成多头股票会导致平值期权交易量在拆分后下降，且该效应受拆分因子和流动性影响。
Abstract We theoretically and empirically identify synthetic long stock as an alternative driver of option trading. Our model proves that the use of synthetic long stocks by capital‐constrained traders contributes to at‐the‐money (ATM) option trading. Using an event study based on stock splits, we document empirical evidence consistent with the model's predictions. ATM option trading declines after stock splits, and these declines are more pronounced for stock splits with higher stock split factors and for more illiquid stocks but are less pronounced for more illiquid options. Our study implies that option trading can occur even without information or opinion dispersion.