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The dynamic relation between short sellers, option traders, and aggregate returns

  • Delisle, R. Jared
  • Lee, Bong Soo
  • Mauck, Nathan

Contrary to existing event studies around option listing introductions, we show short selling and options trading are complements, rather than substitutes. Further, while a plethora of literature demonstrates both short sellers and option traders are informed traders, relatively little is known about which group is relatively more informed. The results of our dynamic tests indicate that options traders are relatively more informed and that short sellers are backward-looking. Our results support the claim that options markets are non-redundant.

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File URL: http://mpra.ub.uni-muenchen.de/42566/1/MPRA_paper_42566.pdf
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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 42566.

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Date of creation: 10 Nov 2012
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Handle: RePEc:pra:mprapa:42566
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