The information content of short selling and put option trading: When are they substitutes?

Xiaohu Deng (), Lei Gao () and David Kemme ()
Additional contact information
Xiaohu Deng: Tasmanian School of Business & Economics, University of Tasmania
Lei Gao: Iowa State University, USA, https://www.business.iastate.edu/directory/lgao/

No 2017-13, Working Papers from University of Tasmania, Tasmanian School of Business and Economics

Abstract: Using January 2005 – June 2007 trading data for all NYSE stocks we identify the informational patterns and impact of exogenous shocks in short sales and option trades upon stock price changes. We find that short sales have more predictive power than put option trades. However, if short selling volume is low put options trading does have predictive power and thus may be a substitute used by informed investors.

Keywords: Short selling; Put option trades; Informational patterns; Price discovery (search for similar items in EconPapers)
JEL-codes: G12 G14 (search for similar items in EconPapers)
Pages: 37 pages
Date: 2017
New Economics Papers: this item is included in nep-cfn and nep-mst
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Published by the University of Tasmania. Discussion paper 2017-13

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