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The Society for Financial Studies
The Information in Option Volume for Future Stock Prices
Author(s): Jun Pan and Allen M. Poteshman
Source: The Review of Financial Studies, Vol. 19, No. 3 (Autumn, 2006), pp. 871-908
Published by: Oxford University Press. Sponsor: The Society for Financial Studies.
Stable URL: http://www.jstor.org/stable/3844016 .
Accessed: 09/04/2013 01:56
Your use of the JSTOR archive indicates your acceptance of the Terms & Conditions of Use, available at . http://www.jstor.org/page/info/about/policies/terms.jsp .
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This content downloaded from 115.27.124.103 on Tue, 9 Apr 2013 01:56:33 AM
All use subject to JSTOR Terms and Conditions
The
Stock
Information
in
Option
Volume
for
Future
Prices
Jun Pan
MIT Sloan School of Management
and NBER
Alien M. Poteshman
University of Illinois at Urbana-Champaign
We presentstrong evidencethatoptiontrading volumecontainsinformation about future stock prices.Taking advantage of a unique data set, we construct put-call ratiosfrom to Stockswithlow optionvolumeinitiated buyers open newpositions. by stockswithhigh put-callratios by more than 40 basis put-callratios outperform our pointson thenextday and morethan1% overthenextweek.Partitioning option we thatare publiclyand nonpublicly observable, findthat signalsinto components is the economic source of this predictability nonpublicinformation possessed by
We
The Information in Option Volume for Future Stock Prices
Author(s): Jun Pan and Allen M. Poteshman
Source: The Review of Financial Studies, Vol. 19, No. 3 (Autumn, 2006), pp. 871-908
Published by: Oxford University Press. Sponsor: The Society for Financial Studies.
Stable URL: http://www.jstor.org/stable/3844016 .
Accessed: 09/04/2013 01:56
Your use of the JSTOR archive indicates your acceptance of the Terms & Conditions of Use, available at . http://www.jstor.org/page/info/about/policies/terms.jsp .
JSTOR is a not-for-profit service that helps scholars, researchers, and students discover, use, and build upon a wide range of content in a trusted digital archive. We use information technology and tools to increase productivity and facilitate new forms of scholarship. For more information about JSTOR, please contact support@jstor.org.
.
Oxford University Press and The Society for Financial Studies are collaborating with JSTOR to digitize, preserve and extend access to The Review of Financial Studies.
http://www.jstor.org
This content downloaded from 115.27.124.103 on Tue, 9 Apr 2013 01:56:33 AM
All use subject to JSTOR Terms and Conditions
The
Stock
Information
in
Option
Volume
for
Future
Prices
Jun Pan
MIT Sloan School of Management
and NBER
Alien M. Poteshman
University of Illinois at Urbana-Champaign
We presentstrong evidencethatoptiontrading volumecontainsinformation about future stock prices.Taking advantage of a unique data set, we construct put-call ratiosfrom to Stockswithlow optionvolumeinitiated buyers open newpositions. by stockswithhigh put-callratios by more than 40 basis put-callratios outperform our pointson thenextday and morethan1% overthenextweek.Partitioning option we thatare publiclyand nonpublicly observable, findthat signalsinto components is the economic source of this predictability nonpublicinformation possessed by
We