The cross-sectional effects of option listing on firm stock return variances: Differential impacts on the bid-ask spread, return autocorrelations, and intrinsic variances
This dissertation focuses on the cross-sectional effects of option listing on the return variance of the underlying securities and makes two primary contributions. First, unlike previous literature, this dissertation develops a set of hypotheses to explain cross-sectional differences in variance changes associated with option listings. Second, this dissertation decomposes transactions variance into three components, that due to the bid-ask spread, return autocorrelations, and intrinsic variance, and theoretically links the change in each component to firm-specific factors. Empirical models are developed to test the thirteen derived theoretical relationships.
Authors: | Niendorf, Bruce David |
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Publisher: |
Florida State University Libraries |
Subject: | Business Administration | Finance |
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