The authors gratefully acknowledge the Key Developments data provided by Capital IQ, borrowed shares and rebate rates data provided by Dataexplorers, as well as the preliminary and Point-In-Time Compustat data provided by Charter Oak Investment Systems Inc. We thank Divya Anantharaman, Mary Billings, Mei Cheng, Edwige Cheynel, Richard Frankel, Christopher Jones, Andy Van Buskirk (discussant), and an anonymous referee for helpful comments and discussions. We also appreciate suggestions from workshop participants at the 2011 Journal of Accounting Research Conference, Finance and Accounting Conference at Hebrew University of Jerusalem, City University of Hong Kong, Columbia University, George Washington University, Hong Kong University of Science and Technology, University of Hong Kong, and University of Oulu.
Option Prices Leading Equity Prices: Do Option Traders Have an Information Advantage?
Article first published online: 24 FEB 2012
©, University of Chicago on behalf of the Accounting Research Center, 2012
Journal of Accounting Research
Volume 50, Issue 2, pages 401–432, May 2012
How to Cite
JIN, W., LIVNAT, J. and ZHANG, Y. (2012), Option Prices Leading Equity Prices: Do Option Traders Have an Information Advantage?. Journal of Accounting Research, 50: 401–432. doi: 10.1111/j.1475-679X.2012.00439.x
- Issue published online: 17 APR 2012
- Article first published online: 24 FEB 2012
- Accepted manuscript online: 20 JAN 2012 07:39AM EST
- Received 4 January 2011; accepted 5 January 2012
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