Table 7 Option volume ratios and...

Table 7

Option volume ratios and one-week future returns

Dependent variable	Ret_{t+1, t+5}			Mrk-adj Ret_{t+1, t+5}
Dependent variable	(1)	(2)	(3)	(4)	(5)	(6)
O/S(Q)_t	0.061**		0.061**	0.026		0.023
O/S(Q)_t	(2.22)		(2.29)	(1.07)		(0.99)
P/C(Q)_t		0.014	0.015		0.011	0.012
P/C(Q)_t		(0.52)	(0.57)		(0.50)	(0.52)
LogSize_t	−0.003	0.016	−0.008	−0.041	−0.023	−0.032
LogSize_t	(−0.02)	(0.15)	(−0.07)	(−0.49)	(−0.26)	(−0.38)
BM_t	0.190***	0.188**	0.200***	0.062	0.061	0.065
BM_t	(2.83)	(2.68)	(2.97)	(1.07)	(1.02)	(1.11)
STD_t	56.785***	55.810***	56.271***	15.166	15.133	15.310
STD_t	(3.87)	(3.57)	(3.70)	(1.37)	(1.28)	(1.31)
LogTV_t	0.147*	0.113	0.151*	0.062	0.037	0.051
LogTV_t	(1.85)	(1.30)	(1.83)	(1.01)	(0.53)	(0.80)
Ret_t	−0.037***	−0.036***	−0.037***	−0.048***	−0.044***	−0.044***
Ret_t	(−3.17)	(−3.13)	(−3.19)	(−4.12)	(−3.89)	(−3.93)
Constant	−5.147**	−4.777**	−5.132**	−0.446	−0.285	−0.421
Constant	(−2.48)	(−2.23)	(−2.44)	(−0.29)	(−0.18)	(−0.27)
Year dummy	Yes	Yes	Yes	Yes	Yes	Yes
Observations	42,556	41,700	41,700	42,556	41,700	41,700
Adjusted R²	0.010	0.010	0.010	0.001	0.001	0.001

Dependent variable	Ret_{t+1, t+5}			Mrk-adj Ret_{t+1, t+5}
Dependent variable	(1)	(2)	(3)	(4)	(5)	(6)
O/S(Q)_t	0.061**		0.061**	0.026		0.023
O/S(Q)_t	(2.22)		(2.29)	(1.07)		(0.99)
P/C(Q)_t		0.014	0.015		0.011	0.012
P/C(Q)_t		(0.52)	(0.57)		(0.50)	(0.52)
LogSize_t	−0.003	0.016	−0.008	−0.041	−0.023	−0.032
LogSize_t	(−0.02)	(0.15)	(−0.07)	(−0.49)	(−0.26)	(−0.38)
BM_t	0.190***	0.188**	0.200***	0.062	0.061	0.065
BM_t	(2.83)	(2.68)	(2.97)	(1.07)	(1.02)	(1.11)
STD_t	56.785***	55.810***	56.271***	15.166	15.133	15.310
STD_t	(3.87)	(3.57)	(3.70)	(1.37)	(1.28)	(1.31)
LogTV_t	0.147*	0.113	0.151*	0.062	0.037	0.051
LogTV_t	(1.85)	(1.30)	(1.83)	(1.01)	(0.53)	(0.80)
Ret_t	−0.037***	−0.036***	−0.037***	−0.048***	−0.044***	−0.044***
Ret_t	(−3.17)	(−3.13)	(−3.19)	(−4.12)	(−3.89)	(−3.93)
Constant	−5.147**	−4.777**	−5.132**	−0.446	−0.285	−0.421
Constant	(−2.48)	(−2.23)	(−2.44)	(−0.29)	(−0.18)	(−0.27)
Year dummy	Yes	Yes	Yes	Yes	Yes	Yes
Observations	42,556	41,700	41,700	42,556	41,700	41,700
Adjusted R²	0.010	0.010	0.010	0.001	0.001	0.001

Note(s): This table reports the results from regressions of one-week future returns on the option volume ratio quintiles, O/S(Q) and P/C(Q). The dependent variable is the next-week raw return and the next-week market-adjusted return. t-statistics are based on standard errors adjusted for 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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