Options and the Bubble

By Robert Battalio, Paul H. Schultz. 2006

256 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/4dc901ab3aea398e12cf89c7a54b0fe90ff0674e

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Citations in the corpus

Learning in Financial Markets (2009, background): “Battalio and Schultz (2006) argue that short-sale constraints were not responsible for the Nasdaq bubble.”
Does Option Trading Convey Stock Price Information (2014, unknown): “Other than the listing effect studied by Figlewski and Webb (1993), Mayhew and Mihov (2004), Mayhew and Mihov (2005), and Battalio and Schultz (2006), the cross market informational linkage has been extensively researched with the focus on which market contains key information about future stock pri”
Do Option Markets Undo Restrictions on Short Sales? Evidence from the 2008 Short-Sale Ban (2012, unknown): “In addition to prior studies on the substitutability of short sales and derivatives, our paper relates to an independent study by Battalio and Schultz (2011) that examines how the regulatory uncertainty generated by the imposition of short sale restrictions in September 2008 impacted equity option m”
Regulatory Uncertainty and Market Liquidity: The 2008 Short Sale Ban's Impact on Equity Option Markets (2011, methodology): “See Battalio and Schultz (2006) for a more detailed discussion of the characteristics of the OPRA data.”
Deviations from Put-Call Parity and Stock Return Predictability (2010, unknown): “Battalio and Schultz (2006) demonstrate that such non-synchronicity can lead empirical researchers to discover violations of put-call parity where none exist.”
The Role of the Media in the Internet IPO Bubble (2009, background): “For example, Battalio and Schultz (2006) contest the explanation that short sale restrictions prevented traders from arbitraging.”
What Does the Individual Option Volatility Smirk Tell Us About Future Equity Returns? (2010, unknown): “If one uses same-day prices for both equity prices and option prices, as pointed out by Battalio and Schultz (2006), serious nonsynchronous trading issues exist.”
Illiquidity Premia in the Equity Options Market (2018, background): “to liquidity providers in stock markets, inventory costs pose a much bigger problem for option market makers because of the volatility of the option position due to leverage, the stochastic risk exposure, and the nature of the imbalances in the option market (Jameson and Wilhelm 1992; Battalio and S”
Ex Ante Skewness and Expected Stock Returns (2013, unknown): “As discussed above, one of our concerns following the findings of Battalio and Schultz (2006) is that results might be driven by stale or misleading prices.”
Cross-Section of Option Returns and Volatility (2009, methodology): “The data on options are from the OptionMetrics Ivy DB database.”
Asset Prices Under Short-Sale Constraints (2006, background): “There is also a large body of empirical work, including Altken, Frino, McCorry and Swan (1998), Asquith, Pathak and Ritter (2005), Battalio and Schultz (2005), Chang, Cheng and Yu (2005), Chen, Hong and Stein (2002), Conrad (1989), Danielsen and Sorescu (2001), D'Avolio (2002), Dechow, Hutton,…”