Stock Price Clustering on Option Expiration Dates

By Sophie Xiaoyan Ni, Neil D. Pearson, Allen M. Poteshman. 2005

181 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/e259ce75e8ab3365fd61d51bca3956e8d0f2107d

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. A. Landier
2. Rabih Moussawi
3. Itzhak Ben-David
4. Robert Mcdonald
5. Francesco A. Franzoni
6. Amit Seru
7. William R. Kerr
8. Lawrence M. Kahn

In Finance

1. A. Landier
2. Rabih Moussawi
3. Itzhak Ben-David
4. Robert Mcdonald
5. Francesco A. Franzoni
6. Amit Seru
7. Samuel M. Hartzmark

Citations in the corpus

• Contingent Capital with a Dual Price Trigger (2013, background): “12In one example of possible manipulation, Ni et al. (2005) document that stock prices cluster near strike prices when options expire, and attribute this in part to manipulation by proprietary traders.”
• Do Hedge Funds Manipulate Stock Prices (2012, background): “Carhart, Kaniel, Musto, and Reed (2002) find similar results for mutual funds, Ni, Pearson, and Poteshman (2005) for option traders, and Blocher, Engelberg, and Reed (2010) for short sellers.”