1540-6261/asset/cover.gif?v=1&s=5192ce61b1e4bde927ebc2df55b44b4da55ef137 "The Journal of Finance")
Sheikh is from Indiana University. Ronn is from the University of Texas at Austin. The authors acknowledge the helpful comments and suggestions of Kerry Back, Robert Bellick, Phelim Boyle, Mahesh Maheswaran, Mark Rubinstein, Guofu Zhou, Journal of Finance Editor René Stulz, an anonymous Journal of Finance referee, as well as finance seminar participants at Indiana University, the University of Pittsburgh, and the University of Missouri at Columbia. An earlier draft of this article was presented at the May 1993 Queen's University Derivative Securities Symposium and the October 1993 Financial Management Association Meetings.
1540-6261/asset/olbannerleft.gif?v=1&s=f5fa766df21c6468d114bb94916c51480b2eed9e)
1540-6261/asset/jofi_centre.gif?v=1&s=3be479aa919c797606665cb79e364d5eb71c8734)
A Characterization of the Daily and Intraday Behavior of Returns on Options
Article first published online: 30 APR 2012
DOI: 10.1111/j.1540-6261.1994.tb05152.x
1994 The American Finance Association
Additional Information
How to Cite
SHEIKH, A. M. and RONN, E. I. (1994), A Characterization of the Daily and Intraday Behavior of Returns on Options. The Journal of Finance, 49: 557–580. doi: 10.1111/j.1540-6261.1994.tb05152.x
- †
Sheikh is from Indiana University. Ronn is from the University of Texas at Austin. The authors acknowledge the helpful comments and suggestions of Kerry Back, Robert Bellick, Phelim Boyle, Mahesh Maheswaran, Mark Rubinstein, Guofu Zhou, Journal of Finance Editor René Stulz, an anonymous Journal of Finance referee, as well as finance seminar participants at Indiana University, the University of Pittsburgh, and the University of Missouri at Columbia. An earlier draft of this article was presented at the May 1993 Queen's University Derivative Securities Symposium and the October 1993 Financial Management Association Meetings.
Publication History
- Issue published online: 30 APR 2012
- Article first published online: 30 APR 2012
- Abstract
- References
- Cited By
ABSTRACT
The daily and intraday behavior of returns on Chicago Board Options Exchange options is examined. Option returns contain systematic patterns even after adjusting for patterns in the means and variances of the underlying assets. This is consistent with the hypothesis that informed trading in options can make the order flow in the options market informative about the value of the underlying asset, making options nonredundant. The intraday patterns in adjusted option return variances are further consistent with a model of strategic trading by informed and discretionary liquidity traders.