Options Trading Activity and Firm Valuation：期权交易活动与企业价值评估.ppt

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Options Trading Activity and Firm Valuation：期权交易活动与企业价值评估.ppt

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Options Trading Activity and Firm Valuation：期权交易活动与企业价值评估

IV estimation (2SLS) Moneyness as instrument Open interest as instrument Variable Coefficient t-statistic Coefficient t-statistic IV(optvol) 0.3485 2.75 0.1385 2.84 Size 0.1839 1.90 1.118 2.91 Stkturn 0.1348 3.07 0.1367 2.63 ROA -0.7009 -1.53 -0.6277 -1.35 CapX 0.0539 1.71 0.0586 1.72 LTD -1.551 -4.66 -1.608 -4.47 Divdum -0.6509 -7.01 -0.7415 -5.78 Average adjusted R2=13.23% Average adjusted R2=11.53% Average number of firms: 1557 First equation: q as a function of same variables, using optvol from Second equation: optvol as a function of instrument and size. Main result is not due to reverse causality. Year-by-year coefficients on ln options volume (dependent variable – Tobin’s q) Are unusual years driving the results; they’re not. Are industry outliers (e.g., the tech bust) are responsible; they aren’t. Without industry controls With Fama and French (1997) industry controls Year Coefficient t-statistic Coefficient t-statistic 1996 0.1452 4.06 0.1351 3.79 1997 0.1788 5.52 0.1659 5.18 1998 0.2236 6.28 0.2029 5.73 1999 0.5553 8.41 0.5025 7.49 2000 0.2820 9.01 0.2405 7.54 2001 0.1524 6.05 0.1410 5.68 2002 0.0898 4.92 0.0885 5.03 2003 0.0873 4.80 0.0835 4.80 2004 0.1123 5.87 0.1085 5.87 2005 0.1518 7.98 0.1433 7.68 Other robustness checks Results are robust to scaling options volume by shares outstanding, and to using log transformation of the positive controls. To test that option trading activity does not proxy for stock riskiness which could potentially affect q: return volatility is not significant in the overall regression for Tobin’s q and the options volume variable remains significant. Options trading and future firm performance: Further analysis Identify the mechanism by which options trading enhances firm value. If options trading activity leads to better corporate resource allocation, then there may be a relation between future firm profitability and options trading. We regress ROA (our measure of financial performance) on lagged values of options volume an