The impacts of asymmetric information and short sales on the illiquidity risk premium in the stock option market

Zih Ying Lin, Chuang Chang Chang, Yaw Huei Wang

研究成果: 雜誌貢獻期刊論文同行評審

7 引文 斯高帕斯(Scopus)

摘要

The illiquidity risk premium hypothesis implies the existence of a positive relation between illiquidity in the option market and option returns. Based on numerous studies within the extant literature examining the roles of informed traders in the option markets, we explore how information asymmetry and short sales affect the illiquidity risk premium hypothesis. We find that the illiquidity risk premium is higher for both call and put options of those firms with higher information asymmetry, which is particularly driven by small firms. We also find that it is higher for put (call) options of those stocks with lower (higher) short-sale supply (demand).

原文???core.languages.en_GB???
頁(從 - 到)152-165
頁數14
期刊Journal of Banking and Finance
94
DOIs
出版狀態已出版 - 9月 2018

指紋

深入研究「The impacts of asymmetric information and short sales on the illiquidity risk premium in the stock option market」主題。共同形成了獨特的指紋。

引用此