Anomalies, option volume, and disagreement
研究发现，由意见分歧驱动的期权成交量会放大股票市场异象的回报，尤其在盈利公告前更为显著，且这种效应集中在难以卖空的股票中。
Abstract We document robust amplification of stock market anomaly returns associated with elevated option trading volume driven by disagreement trades. Consistent with the correction of mispricing associated with biased beliefs, anomaly returns are higher when disagreement option volume is high prior to earnings announcements. Additionally, we demonstrate that disagreement‐based option volume is negatively related to future stock returns among stocks that are overpriced based on anomaly characteristics. Our findings also concentrate in stocks that are also difficult to short, emphasizing the combined impact of investor bias and shorting costs. Leveraging the staggered adoption of eXtensible Business Reporting Language, we establish a plausibly identified link between investor disagreement and short‐horizon mispricing in stocks.