Table 5

Determinants of option volume ratios

Dependent variableO/S(Q)P/C(Q)
(1)(2)(3)(4)
Ret0.006 −0.003 
(1.59) (−0.22) 
Mrk-adj Ret 0.007*** 0.007**
 (3.26) (2.16)
LogSize0.392***0.394***0.066***0.070***
(3.20)(3.22)(2.73)(2.88)
BM−0.205**−0.204**−0.018−0.017
(−2.31)(−2.30)(−0.77)(−0.75)
STD−10.687−10.788−6.339−6.416
(−0.70)(−0.71)(−1.36)(−1.38)
LogTV−0.608***−0.612***−0.026−0.033
(−5.58)(−5.62)(−1.23)(−1.54)
LogShrtTV−0.024**−0.023**−0.005−0.005
(−2.27)(−2.23)(−0.97)(−0.83)
O/S(Q)  −0.021**−0.022**
  (−2.39)(−2.47)
P/C(Q)−0.019**−0.019**  
(−2.31)(−2.39)  
Constant6.227*6.257*0.9711.011
(1.78)(1.79)(1.51)(1.59)
Year dummyYesYesYesYes
Observations41,84141,84141,84141,841
Adjusted R20.1060.1060.0030.003

Note(s): This table reports the results from regressions of the option volume ratio quintiles, the O/S(Q) and the P/C(Q). t-statistics are based on standard errors adjusted for a firm-clustering effect and are in parentheses. ***, ** and * denote statistical significance at the 1%, 5% and 10% levels, respectively. The sample period is from November 2014 to May 2022

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