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Citations for " Options, Short Sales, and Market Completeness"

by Figlewski, Stephen & Webb, Gwendolyn P

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  1. Paul Asquith & Andrea S. Au & Thomas R. Covert & Parag A. Pathak, 2010. "The Market for Borrowing Corporate Bonds," NBER Working Papers 16282, National Bureau of Economic Research, Inc.
  2. Jain, Archana & Jain, Pankaj K. & McInish, Thomas H. & McKenzie, Michael, 2013. "Worldwide reach of short selling regulations," Journal of Financial Economics, Elsevier, Elsevier, vol. 109(1), pages 177-197.
  3. Wong, Woon K. & Tu, Anthony H., 2009. "Market imperfections and the information content of implied and realized volatility," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 17(1), pages 58-79, January.
  4. Bakshi, Gurdip & Madan, Dilip & Panayotov, George, 2010. "Returns of claims on the upside and the viability of U-shaped pricing kernels," Journal of Financial Economics, Elsevier, Elsevier, vol. 97(1), pages 130-154, July.
  5. Roll, Richard & Schwartz, Eduardo & Subrahmanyam, Avanidhar, 2009. "Options trading activity and firm valuation," Journal of Financial Economics, Elsevier, Elsevier, vol. 94(3), pages 345-360, December.
  6. Badreddine, Sina & Galariotis, Emilios C. & Holmes, Phil, 2012. "The relevance of information and trading costs in explaining momentum profits: Evidence from optioned and non-optioned stocks," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 22(3), pages 589-608.
  7. Blau, Benjamin M. & Wade, Chip, 2012. "Informed or speculative: Short selling analyst recommendations," Journal of Banking & Finance, Elsevier, vol. 36(1), pages 14-25.
  8. Hauser, Florian & Huber, Jürgen, 2012. "Short-selling constraints as cause for price distortions: An experimental study," Journal of International Money and Finance, Elsevier, Elsevier, vol. 31(5), pages 1279-1298.
  9. Juerg Syz & Paolo Vanini, 2011. "Arbitrage Free Price Bounds for Property Derivatives," The Journal of Real Estate Finance and Economics, Springer, vol. 43(3), pages 281-298, October.
  10. Palan, Stefan, 2010. "Digital options and efficiency in experimental asset markets," Journal of Economic Behavior & Organization, Elsevier, vol. 75(3), pages 506-522, September.
  11. Roll, Richard & Schwartz, Eduardo & Subrahmanyam, Avanidhar, 2010. "O/S: The relative trading activity in options and stock," Journal of Financial Economics, Elsevier, Elsevier, vol. 96(1), pages 1-17, April.
  12. Robert J. Shiller, 2003. "From Efficient Markets Theory to Behavioral Finance," Journal of Economic Perspectives, American Economic Association, vol. 17(1), pages 83-104, Winter.
  13. Chaudhury, Mohammed & Elfakhami, Said, 1997. "Listing of put options: Is there any volatility effect?," Review of Financial Economics, Elsevier, Elsevier, vol. 6(1), pages 57-75.
  14. Daouk, Hazem & Lee, Charles M.C. & Ng, David, 2006. "Capital market governance: How do security laws affect market performance?," Journal of Corporate Finance, Elsevier, Elsevier, vol. 12(3), pages 560-593, June.
  15. Lecce, Steven & Lepone, Andrew & McKenzie, Michael D. & Segara, Reuben, 2012. "The impact of naked short selling on the securities lending and equity market," Journal of Financial Markets, Elsevier, Elsevier, vol. 15(1), pages 81-107.
  16. Paul Asquith & Parag A. Pathak & Jay R. Ritter, 2004. "Short Interest and Stock Returns," NBER Working Papers 10434, National Bureau of Economic Research, Inc.
  17. Chen, Crystal Xiaobei & Rhee, S. Ghon, 2010. "Short sales and speed of price adjustment: Evidence from the Hong Kong stock market," Journal of Banking & Finance, Elsevier, vol. 34(2), pages 471-483, February.
  18. Rafiqul Bhuyan, 2002. "Information, Alternative Markets, and Security Price Processes: A Survey of Literature," Finance, EconWPA 0211002, EconWPA.
  19. Lucy F. Ackert & Bryan K. Church & Richard Deaves, 2002. "Bubbles in experimental asset markets: Irrational exuberance no more," Working Paper, Federal Reserve Bank of Atlanta 2002-24, Federal Reserve Bank of Atlanta.
  20. Benjamin Blau & Chip Wade, 2013. "Comparing the information in short sales and put options," Review of Quantitative Finance and Accounting, Springer, vol. 41(3), pages 567-583, October.
  21. Hu, Jianfeng, 2014. "Does option trading convey stock price information?," Journal of Financial Economics, Elsevier, Elsevier, vol. 111(3), pages 625-645.
  22. Dechow, Patricia M. & Hutton, Amy P. & Meulbroek, Lisa & Sloan, Richard G., 2001. "Short-sellers, fundamental analysis, and stock returns," Journal of Financial Economics, Elsevier, Elsevier, vol. 61(1), pages 77-106, July.
  23. Blau, Benjamin M. & Nguyen, Nga & Whitby, Ryan J., 2014. "The information content of option ratios," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 179-187.
  24. Atilgan, Yigit, 2014. "Volatility spreads and earnings announcement returns," Journal of Banking & Finance, Elsevier, vol. 38(C), pages 205-215.
  25. Hu, Ou & Huang, Zhaodan & Liao, Bih-shuang, 2009. "Short sale and stock returns: Evidence from the Taiwan Stock Exchange," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 49(3), pages 1146-1158, August.
  26. Ofek, Eli & Richardson, Matthew & Whitelaw, Robert F., 2004. "Limited arbitrage and short sales restrictions: evidence from the options markets," Journal of Financial Economics, Elsevier, Elsevier, vol. 74(2), pages 305-342, November.
  27. Chung, San-Lin & Hung, Chi-Hsiou & Yeh, Chung-Ying, 2012. "When does investor sentiment predict stock returns?," Journal of Empirical Finance, Elsevier, Elsevier, vol. 19(2), pages 217-240.
  28. Joseph Chen & Harrison Hong & Jeremy C. Stein, 2001. "Breadth of Ownership and Stock Returns," NBER Working Papers 8151, National Bureau of Economic Research, Inc.
  29. Paul V. Azzopardi & Silvio John Camilleri, 2004. "The Relevance of Short Sales to the Maltese Stock Market," Finance, EconWPA 0409009, EconWPA.
  30. Duffie, Darrell & Garleanu, Nicolae & Pedersen, Lasse Heje, 2002. "Securities lending, shorting, and pricing," Journal of Financial Economics, Elsevier, Elsevier, vol. 66(2-3), pages 307-339.
  31. Hueng, C. James & McDonald, James B., 2005. "Forecasting asymmetries in aggregate stock market returns: Evidence from conditional skewness," Journal of Empirical Finance, Elsevier, Elsevier, vol. 12(5), pages 666-685, December.
  32. Jones, Charles M. & Lamont, Owen A., 2002. "Short-sale constraints and stock returns," Journal of Financial Economics, Elsevier, Elsevier, vol. 66(2-3), pages 207-239.
  33. Swidler, Steve & Wilcox, James A., 2002. "Information about bank risk in options prices," Journal of Banking & Finance, Elsevier, vol. 26(5), pages 1033-1057, May.
  34. Benjamin Blau, 2013. "Informed short sales and option introductions," Annals of Finance, Springer, vol. 9(3), pages 365-382, August.
  35. Chern, Keh-Yiing & Tandon, Kishore & Yu, Susana & Webb, Gwendolyn, 2008. "The information content of stock split announcements: Do options matter?," Journal of Banking & Finance, Elsevier, vol. 32(6), pages 930-946, June.
  36. Lundstrum, Leonard L. & Walker, Mark D., 2006. "LEAPS introductions and the value of the underlying stocks," Journal of Financial Intermediation, Elsevier, Elsevier, vol. 15(4), pages 494-510, October.
  37. Blau, Benjamin M. & Van Ness, Bonnie F. & Van Ness, Robert A., 2009. "Information and trade sizes: The case of short sales," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 49(4), pages 1371-1388, November.
  38. Li, Yuanzhi & Zhong, Zhaodong (Ken), 2013. "Investing in Chapter 11 stocks: Trading, value, and performance," Journal of Financial Markets, Elsevier, Elsevier, vol. 16(1), pages 33-60.
  39. Boulton, Thomas J. & Braga-Alves, Marcus V., 2010. "The skinny on the 2008 naked short-sale restrictions," Journal of Financial Markets, Elsevier, Elsevier, vol. 13(4), pages 397-421, November.
  40. Jean-François L'Her & Jean-Marc Suret, 1995. "Heterogeneous Expectations, Short Sales Regulation and the Risk Return Relationship," CIRANO Working Papers 95s-29, CIRANO.
  41. Grundy, Bruce D. & Lim, Bryan & Verwijmeren, Patrick, 2012. "Do option markets undo restrictions on short sales? Evidence from the 2008 short-sale ban," Journal of Financial Economics, Elsevier, Elsevier, vol. 106(2), pages 331-348.
  42. Ackert, Lucy F. & Athanassakos, George, 2005. "The relationship between short interest and stock returns in the Canadian market," Journal of Banking & Finance, Elsevier, vol. 29(7), pages 1729-1749, July.
  43. Dungey, Mardi & McKenzie, Michael D. & Yalama, Abdullah, 2013. "The cross market effects of short sale restrictions," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 53-71.