Why Do Option Introductions Depress Stock Prices? A Study of Diminishing Short Sale Constraints

By Bartley R. Danielsen, Sorin M. Sorescu. Journal of Financial and Quantitative Analysis, 2001

344 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/f0b51a35692307cdaff3ba559d08b4fd601bd126

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Citations in the corpus

Securities lending, shorting, and pricing (2002, unknown): “…our model is also consistent with low 2See Aitken, Frino, McCorry, and Swan (1998), Asquith and Meulbroek (1996), Brent, Morse, and Stice (1990), Danielson and Sorescu (2001a), Dechow, Hutton, Meulbroek, and Sloan (2000), Figlewski (1981), Figlewski and Webb (1993), MacDonald and Baron (1973),…”
Short-Sale Strategies and Return Predictability (2009, background): “Several authors (Brent, Morse, and Stice, 1990; Senchack and Starks, 1993; Danielsen and Sorescu, 2001; and Chen and Singal, 2003) have explored the interaction between the options market and the stock market to investigate the extent to which short-sale constraints are binding.”
Do Option Markets Undo Restrictions on Short Sales? Evidence from the 2008 Short-Sale Ban (2012, unknown): “Our results when viewed in the light of Blau and Wade (2009) and Danielsen and Sorescu (2001) suggest the following link between the stock and option markets.”
Asset Prices Under Short-Sale Constraints (2006, background): “…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, Meulbroek and Sloan (2001), Figlewski (1981), Figlewski and Webb (1993), Geczy, Musto,…”
Option Strategies: Good Deals and Margin Calls (2009, unknown): “A second branch of this literature, including Figlewski and Webb (1993), Danielsen and Sorescu (2001), Jones and Lamont (2002), Lamont and Stein (2004), and Ofek, Richardson, and Whitelaw (2004), focuses explicitely on short-sale constraints and their relation to mispricing.”
How Do Diversity of Opinion and Information Asymmetry Affect Acquirer Returns (2007, background): “However, several recent papers use idiosyncratic volatility as a proxy for diversity of opinion (see Gebhardt, Lee, and Swaminathan (2001); Danielsen and Sorescu, (2001) Diether, Malloy, and Scherbina (2002); Boehme, Danielsen, and Sorescu (2006)).”