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We find that single-name options trading increases the absolute level of information content of prices (stock price … causality by using a difference-in-difference approach using regulatory changes as an exogenous shock on equity options trading … disclosure. The findings are driven by firms with higher information asymmetry and firms with more efficiently priced options …
Persistent link: https://www.econbiz.de/10012179434
We find that option expensiveness, as measured by delta-hedged option returns, is higher for low-ESG stocks, indicating that investors pay a premium in the option market to hedge ESG-related uncertainty. We estimate this ESG premium to be about 0.3% per month. All three components of ESG...
Persistent link: https://www.econbiz.de/10012593635