We examine the information contained in option trading and short selling using a dynamic VAR model. First, we address whether options and shorts are complements or substitutes. Contrary to existing event studies around option listing introductions, we show short selling and options trading are...

In this paper, we generalize Bernard and Thomas' (1990) "delayed response" hypothesis as an explanation of post-earnings-announcement drifts. By applying a modified version of Beveridge and Nelson's technique of decomposing a time-series process of earnings into permanent and temporary...