Table 11 Foreign option volume ratios...

Table 11

Foreign option volume ratios and one-day future returns

	Panel A. Dependent variable: Ret_t+1					Panel B. Dependent variable: Mrk-adj Ret_t+1
	(1)	(2)	(3)	(4)	(5)	(6)	(7)	(8)	(9)	(10)
O/S_forg(Q)_t	0.039**				0.032*	0.026				0.031**
O/S_forg(Q)_t	(2.11)				(1.88)	(1.66)				(2.04)
P/C_forg(Q)_t		−0.045*			−0.046*		−0.042**			−0.043**
P/C_forg(Q)_t		(−1.94)			(−1.99)		(−2.29)			(−2.35)
Net C/S_forg(Q)_t			0.014		0.005			0.009		0.004
Net C/S_forg(Q)_t			(0.62)		(0.25)			(0.48)		(0.20)
Net P/S_forg(Q)_t				0.018	0.013				0.012	0.008
Net P/S_forg(Q)_t				(0.74)	(0.50)				(0.50)	(0.35)
LogSize_t	−0.151***	−0.152***	−0.154***	−0.155***	−0.152***	−0.055*	−0.047	−0.058*	−0.058*	−0.046
LogSize_t	(−4.79)	(−4.39)	(−4.84)	(−4.86)	(−4.34)	(−1.76)	(−1.39)	(−1.85)	(−1.86)	(−1.32)
BM_t	0.062***	0.044**	0.054***	0.054***	0.051**	0.039**	0.027	0.034*	0.034*	0.033*
BM_t	(3.58)	(2.27)	(2.91)	(2.92)	(2.69)	(2.21)	(1.41)	(1.82)	(1.82)	(1.79)
STD_t	−13.409***	−12.525***	−14.945***	−14.932***	−11.351***	−10.256***	−9.027**	−11.275***	−11.265***	−7.860**
STD_t	(−3.73)	(−2.79)	(−3.76)	(−3.75)	(−2.79)	(−3.03)	(−2.21)	(−3.03)	(−3.00)	(−2.18)
LogTV_forg_t	0.137***	0.121***	0.116***	0.117***	0.140***	0.036	0.019	0.022	0.023	0.037
LogTV_forg_t	(5.37)	(5.09)	(4.70)	(4.75)	(5.40)	(1.54)	(0.72)	(0.89)	(0.91)	(1.42)
Ret_t	−0.012	−0.019	−0.011	−0.010	−0.017	−0.029*	−0.032*	−0.027	−0.027	−0.030
Ret_t	(−0.83)	(−1.19)	(−0.69)	(−0.59)	(−0.97)	(−1.76)	(−1.85)	(−1.67)	(−1.54)	(−1.65)
Constant	1.368**	2.013**	2.082***	2.061***	1.413*	0.950	1.233	1.424**	1.411**	0.669
Constant	(2.11)	(2.43)	(2.87)	(2.88)	(1.90)	(1.56)	(1.62)	(2.09)	(2.09)	(0.98)
Year dummy	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes
Observations	5,401	5,203	5,401	5,401	5,201	5,401	5,203	5,401	5,401	5,201
Adjusted R²	0.002	0.003	0.002	0.002	0.003	0.002	0.002	0.002	0.002	0.002

	Panel A. Dependent variable: Ret_t+1					Panel B. Dependent variable: Mrk-adj Ret_t+1
	(1)	(2)	(3)	(4)	(5)	(6)	(7)	(8)	(9)	(10)
O/S_forg(Q)_t	0.039**				0.032*	0.026				0.031**
O/S_forg(Q)_t	(2.11)				(1.88)	(1.66)				(2.04)
P/C_forg(Q)_t		−0.045*			−0.046*		−0.042**			−0.043**
P/C_forg(Q)_t		(−1.94)			(−1.99)		(−2.29)			(−2.35)
Net C/S_forg(Q)_t			0.014		0.005			0.009		0.004
Net C/S_forg(Q)_t			(0.62)		(0.25)			(0.48)		(0.20)
Net P/S_forg(Q)_t				0.018	0.013				0.012	0.008
Net P/S_forg(Q)_t				(0.74)	(0.50)				(0.50)	(0.35)
LogSize_t	−0.151***	−0.152***	−0.154***	−0.155***	−0.152***	−0.055*	−0.047	−0.058*	−0.058*	−0.046
LogSize_t	(−4.79)	(−4.39)	(−4.84)	(−4.86)	(−4.34)	(−1.76)	(−1.39)	(−1.85)	(−1.86)	(−1.32)
BM_t	0.062***	0.044**	0.054***	0.054***	0.051**	0.039**	0.027	0.034*	0.034*	0.033*
BM_t	(3.58)	(2.27)	(2.91)	(2.92)	(2.69)	(2.21)	(1.41)	(1.82)	(1.82)	(1.79)
STD_t	−13.409***	−12.525***	−14.945***	−14.932***	−11.351***	−10.256***	−9.027**	−11.275***	−11.265***	−7.860**
STD_t	(−3.73)	(−2.79)	(−3.76)	(−3.75)	(−2.79)	(−3.03)	(−2.21)	(−3.03)	(−3.00)	(−2.18)
LogTV_forg_t	0.137***	0.121***	0.116***	0.117***	0.140***	0.036	0.019	0.022	0.023	0.037
LogTV_forg_t	(5.37)	(5.09)	(4.70)	(4.75)	(5.40)	(1.54)	(0.72)	(0.89)	(0.91)	(1.42)
Ret_t	−0.012	−0.019	−0.011	−0.010	−0.017	−0.029*	−0.032*	−0.027	−0.027	−0.030
Ret_t	(−0.83)	(−1.19)	(−0.69)	(−0.59)	(−0.97)	(−1.76)	(−1.85)	(−1.67)	(−1.54)	(−1.65)
Constant	1.368**	2.013**	2.082***	2.061***	1.413*	0.950	1.233	1.424**	1.411**	0.669
Constant	(2.11)	(2.43)	(2.87)	(2.88)	(1.90)	(1.56)	(1.62)	(2.09)	(2.09)	(0.98)
Year dummy	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes
Observations	5,401	5,203	5,401	5,401	5,201	5,401	5,203	5,401	5,401	5,201
Adjusted R²	0.002	0.003	0.002	0.002	0.003	0.002	0.002	0.002	0.002	0.002

Note(s): This table reports the results from regressions of one-day future returns on the foreign option volume ratio quintiles, that is, O/S_forg(Q), P/C_forg(Q), Net C/S_forg(Q) and Net C/S_forg(Q). The dependent variable in Panel A is the next-day raw return. The dependent variable in Panel B is the next-day 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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