REIT option volume, retail investors, and return predictability
研究了投资者构成对期权市场信息含量的影响，发现新冠疫情期间散户参与增加导致REIT期权交易量上升，但高散户参与时期权交易量对标的股票收益的预测能力大幅下降。
Abstract This article examines the importance of investor composition in determining the informativeness of option market trading. Utilizing the change in social dynamics that characterized the early COVID‐19 pandemic to identify a structural shift in investor composition within REIT (Real Estate Investment Trust) option markets, we first document a significant increase in REIT option volume attributable to the increased participation of retail investors during this period. While preliminary evidence indicates that relative option volume continues to be an important predictor of return performance in the underlying stock, on average, return predictability is drastically reduced when retail investor participation in a REIT's options is relatively high.