The Information of Option Volume for Future Stock Prices

By Jun Pan, Allen M. Poteshman. 2004

744 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/53e053845354bad2b77a6f5365472adfe236c916

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Turan G. Bali
2. Bryan T. Kelly
3. Hao Jiang
4. Nusret Cakici
5. Neil D. Pearson
6. Sophie Xiaoyan Ni
7. Doojin Ryu
8. Hee-Joon Ahn

In Finance

1. Turan G. Bali
2. Bryan T. Kelly
3. Hao Jiang
4. Nusret Cakici
5. Andrew Ang
6. Allen M. Poteshman
7. I. Lee
8. Neil D. Pearson

In Management Science and Operations Research

1. Hao Jiang
2. Bryan T. Kelly
3. Doojin Ryu
4. Sophie Xiaoyan Ni
5. Hee-Joon Ahn
6. Jangkoo Kang
7. Neil D. Pearson
8. Allen M. Poteshman

Citations in the corpus

• Volatility Information Trading in the Option Market (2008, positive): “Similarly, Pan and Poteshman (2006) show that open volume contains more information than close volume about the future direction of underlying stock prices.”
• Illiquidity Premia in the Equity Options Market (2018, neutral): “[59] Pan, J.”
• Informed trading in the index option market: The case of KOSPI 200 options (2008, positive): “Hence, more informed trading for low delta options should ensue (Chakravarty et al., 2004; Lee & Yi, 2001; Pan & Poteshman, 2006; Stoll & Whaley, 1990).”
• Does Option Trading Convey Stock Price Information (2014, neutral): “…Chung, and Johnson (1993), Easley, O’Hara, and Srinivas (1998), Chan, Chung, and Fong (2002), Chakravarty, Gulen, and Mayhew (2004), Cao, Chen, and Griffin (2005), Holowczak, Simaan, and Wu (2006), Pan and Poteshman (2006), Ni, Pan, and Poteshman (2008), and Muravyev, Pearson, and Broussard (2013).”
• Regulatory Uncertainty and Market Liquidity: The 2008 Short Sale Ban's Impact on Equity Option Markets (2011, neutral): “These records are similar to those used by Pan and Poteshman (2006).”
• Model Uncertainty and Option Markets with Heterogeneous Beliefs (2006, neutral): “For instance, Pan and Poteshman (2006) find that the put-call volume ratio of buyer-originated trades predicts future returns in the underlying asset, Amin and Lee (1997) show that good (bad) earnings news is positively correlated with a pre-announcement increase in call (put) open interest, Cao,…”