Option market liquidity and stock price crash risk
研究发现美国市场期权流动性会提高未来股价崩盘风险，该效应在信息不对称高的公司中更明显，支持了短期投资者渠道假说。
We find that equity option liquidity increases future stock price crash risk in the US market. This effect differs from the stock liquidity-crash risk causality documented elsewhere and remains robust to different measures of option liquidity and crash risk, alternative weighting schemes, option moneyness, and is not influenced by endogeneity issues. The option liquidity-stock crash risk causality is a unique phenomenon, not a manifestation of higher crash risk in times of high volatility, and is not confined to the financial crisis period. The positive impact of option liquidity on future crash risk is more apparent for firms with higher degrees of information asymmetry and for low levels of option investors’ sentiment. Our results support the transient investor channel which posits that, in presence of myopic investors attracted to liquid options, managers make poor decisions and hoard subsequent bad news to avoid negative market reactions, leading to accumulation of bad news and price crashes when information is finally revealed.