El efecto del anuncio de beneficios cuando cotizan opcionesun estudio conjunto del mercado de contado y el mercado de opciones
- 1 Universitat de València. Departamento de Finanzas Empresariales
ISSN: 1019-6838
Année de publication: 2015
Volumen: 24
Número: 2
Pages: 108-116
Type: Article
D'autres publications dans: Revista europea de dirección y economía de la empresa
Résumé
This study investigates the informational role of option trading in price discovery process around the dissemination of earnings news. The effect of options markets are examined first by analysing stock market reaction to earnings news conditional on the availability of option markets. Study methodology has been used and distribution functions compared. Option trading activity around the release of earnings news was then examined. Results show that, when option trading is available the option market enhances the price efficiency of equity markets. Moreover, the dissemination of earnings news is associated with a significant unusual activity in market option. The results support the improvement of the efficiency of equity markets after options listing, and that informed agents trade in options markets in order to take advantage of relevant company information.
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