今回は、Posted: 24 Feb 2025に掲載された公開企業におけるオプション市場の役割：エビデンスからの考察の論文を分かりやすく解説・要約しました。
元の論文は下記の通りです。
What is the Role of the Options Market? Evidence from Newly Public Companies
出典元：SSRN
それでは早速見ていきましょう。
- 1 Abstract
- 2 Introduction
- 3 Literature Review and Contribution
- 4 Data Analysis and Sample
- 5 Options Listing and Stock Returns of Newly Public Companies
- 6 Impact on Cumulative Abnormal Returns and Short-Sale Constraints
- 7 Informed Options Trading and Proprietary Traders
- 8 Synthetic Net Open Interests and Future Stock Returns
- 9 Conclusion
Abstract
Stock returns of newly public companies are significantly lower in the weeks after their options begin trading, on average. The options market plays a role as a venue for information-based trading rather than mitigating short-sale constraints.
Introduction
This paper examines the impact of the options market on newly public companies, showing a negative effect of options listing on stock returns, the worsening of short-sale constraints, and the information-based trading activities of proprietary traders.
Literature Review and Contribution
This study builds upon existing literature by exploring the economic effects of options listing, informed trading in the options market, and pricing efficiency in the IPO aftermarket. It contributes new evidence on the impact of options listing on newly public firms and emphasizes the role of proprietary traders in informed options trading.
Data Analysis and Sample
Data from initial public offerings and options exchanges are utilized to analyze the impact of options listing on newly public companies. Descriptive statistics on IPO characteristics and options listing events are presented to provide context for the study.
Options Listing and Stock Returns of Newly Public Companies
An empirical analysis is conducted to investigate the relationship between options listing and stock returns of newly public companies. The study reveals a significant negative impact of options listing on stock returns, indicating a role of the options market in information-based trading and exacerbating short-sale constraints.
Impact on Cumulative Abnormal Returns and Short-Sale Constraints
The study finds that the introduction of options trading on the equity of newly public companies leads to a negative impact on cumulative abnormal returns (CAR). Additionally, short-sale constraints worsen after options begin trading, affecting the availability and cost of short positions on the underlying stocks.
Informed Options Trading and Proprietary Traders
By examining open-close volume data from options trading activity, the study delves into how information-based trading through options influences stock prices of newly public companies. Proprietary traders’ option trades, particularly in put options, contain new negative information about the company, impacting stock returns.
Synthetic Net Open Interests and Future Stock Returns
The study explores the relationship between synthetic net open interests (SNOI) in options trading and future stock returns of newly public companies. Proprietary traders’ option trades, especially in put options, are found to predict future stock returns, indicating the presence of private information that influences stock prices.
Conclusion
In conclusion, this study highlights the significant impact of options listing on the stock returns of newly public companies. It emphasizes the role of informed trading in options markets and its consequences for stock pricing. The findings also shed light on the dynamics of short-selling constraints and how they are influenced by options trading activity, contributing to a better understanding of financial markets.
