Regressions with the models including both the C/P 1 ratio and the C/P 2 ratio
| 1 (Low) | 2 | 3 | 4 | 5 (High) | |
|---|---|---|---|---|---|
| Panel A. Effects of the C/P 1 ratio and the C/P 2 ratio on CAR (0,1) | |||||
| C/P 1 | 0.1219* (1.81) | 0.0027 (0.33) | 0.0000 (0.02) | 0.0243** (2.34) | 0.0515 (0.53) |
| C/P 2 | −0.2082** (−2.04) | −0.2609** (−2.63) | −0.0234 (−0.41) | 0.3633** (2.40) | 1.0556*** (2.75) |
| Panel B. Effects of the C/P 1 ratio and the C/P 2 ratio on CAR (0,3) | |||||
| C/P 1 | −0.0523* (−1.83) | −0.0010 (−0.26) | 0.0079 (0.70) | −0.0024 (−0.16) | 0.0414 (0.33) |
| C/P 2 | 0.0514 (0.28) | −0.1534** (−2.47) | 0.1123 (1.21) | 0.7120*** (4.47) | 1.7019*** (3.83) |
| Panel C. Effects of the C/P 1 ratio and the C/P 2 ratio on CAR (0,5) | |||||
| C/P 1 | −0.0381 (−0.91) | −0.0262** (−2.03) | −0.0355* (−1.69) | 0.0113 (0.56) | 0.1027 (0.70) |
| C/P 2 | −0.0716 (−0.49) | −0.4728*** (−2.87) | 0.0345 (0.26) | 0.4654*** (3.05) | 1.6805*** (2.97) |
| Panel D. Effects of the C/P 1 ratio and the C/P 2 ratio on CAR (0,10) | |||||
| C/P 1 | 0.2100 (1.45) | −0.0639** (−2.00) | −0.0148 (−0.71) | −0.0005 (−0.18) | 0.2409 (0.89) |
| C/P 2 | −0.9805** (−2.17) | −0.2405 (−1.43) | 0.0408 (0.31) | 0.3745*** (2.70) | 1.1907 (1.43) |
| Panel E. Effects of the C/P 1 ratio and the C/P 2 ratio on CAR (0,20) | |||||
| C/P 1 | 0.1813 (1.29) | −0.0151 (−1.13) | −0.0208 (−1.13) | 0.1726* (1.73) | 0.3654 (0.90) |
| C/P 2 | −0.8929 (−1.29) | −0.3727*** (−2.93) | −0.1624 (−0.90) | 0.5435*** (2.78) | 1.0009 (1.09) |
| 1 (Low) | 2 | 3 | 4 | 5 (High) | |
|---|---|---|---|---|---|
| 0.1219* (1.81) | 0.0027 (0.33) | 0.0000 (0.02) | 0.0243** (2.34) | 0.0515 (0.53) | |
| −0.2082** (−2.04) | −0.2609** (−2.63) | −0.0234 (−0.41) | 0.3633** (2.40) | 1.0556*** (2.75) | |
| −0.0523* (−1.83) | −0.0010 (−0.26) | 0.0079 (0.70) | −0.0024 (−0.16) | 0.0414 (0.33) | |
| 0.0514 (0.28) | −0.1534** (−2.47) | 0.1123 (1.21) | 0.7120*** (4.47) | 1.7019*** (3.83) | |
| −0.0381 (−0.91) | −0.0262** (−2.03) | −0.0355* (−1.69) | 0.0113 (0.56) | 0.1027 (0.70) | |
| −0.0716 (−0.49) | −0.4728*** (−2.87) | 0.0345 (0.26) | 0.4654*** (3.05) | 1.6805*** (2.97) | |
| 0.2100 (1.45) | −0.0639** (−2.00) | −0.0148 (−0.71) | −0.0005 (−0.18) | 0.2409 (0.89) | |
| −0.9805** (−2.17) | −0.2405 (−1.43) | 0.0408 (0.31) | 0.3745*** (2.70) | 1.1907 (1.43) | |
| 0.1813 (1.29) | −0.0151 (−1.13) | −0.0208 (−1.13) | 0.1726* (1.73) | 0.3654 (0.90) | |
| −0.8929 (−1.29) | −0.3727*** (−2.93) | −0.1624 (−0.90) | 0.5435*** (2.78) | 1.0009 (1.09) | |
Note(s): This table shows the result from regressing future underlying stock returns on the option ratios for quintiles sorted by each period of future returns. 1(Low), 2, 3, 4 and 5 (High) represent a quintile with the lowest CAR through the highest CAR, respectively. The dependent variables are CARs (0,T), which is calculated by cumulating the daily abnormal returns for the period of T days from day 0 (announcement date). Abnormal return is calculated by subtracting the return of the market composite index from the return of a stock. Both the C/P 1 ratio and the C/P 2 ratio are included in each regression model. The intercept and the control variables are not shown for the readability. C/P 1 represents the C/P 1 ratio, which is calculated as the log of call option trading volume to put option trading volume and C/P 2 represents the C/P 2 ratio, which is calculated as the log of open interest of call option to that of put option. The intercept and the control variables are not shown for the readability. The t-values are within the parentheses. ***, **, * represent the statistical significance at the levels of 1%, 5%, 10%, respectively