Table 12 Foreign option volume ratios...

Table 12

Foreign option volume ratios and one-week future returns

	Panel A. Dependent variable: Ret_{t+1, t+5}					Panel B. Dependent variable: Mrk-adj Ret_{t+1, t+5}
	(1)	(2)	(3)	(4)	(5)	(6)	(7)	(8)	(9)	(10)
O/S_forg(Q)_t	0.116*				0.131*	0.070				0.105
O/S_forg(Q)_t	(1.76)				(1.85)	(1.04)				(1.45)
P/C_forg(Q)_t		−0.076			−0.080		−0.079			−0.082*
P/C_forg(Q)_t		(−1.49)			(−1.56)		(−1.64)			(−1.71)
Net C/S_forg(Q)_t			−0.025		−0.031			−0.011		−0.018
Net C/S_forg(Q)_t			(−0.38)		(−0.57)			(−0.17)		(−0.34)
Net P/S_forg(Q)_t				−0.006	0.003				0.011	0.021
Net P/S_forg(Q)_t				(−0.07)	(0.03)				(0.15)	(0.32)
LogSize_t	−0.609***	−0.563***	−0.619***	−0.620***	−0.547***	−0.205	−0.127	−0.211	−0.212	−0.114
LogSize_t	(−4.35)	(−3.80)	(−4.22)	(−4.21)	(−3.90)	(−1.40)	(−0.86)	(−1.40)	(−1.40)	(−0.80)
BM_t	0.226**	0.201**	0.206**	0.206**	0.227**	0.138	0.123	0.126	0.125	0.144
BM_t	(2.62)	(2.04)	(2.31)	(2.28)	(2.38)	(1.60)	(1.27)	(1.43)	(1.42)	(1.50)
STD_t	−65.614***	−57.641**	−69.378***	−69.638***	−52.368**	−49.694***	−40.465**	−52.030***	−52.235***	−36.501**
STD_t	(−3.55)	(−2.72)	(−3.50)	(−3.50)	(−2.66)	(−2.79)	(−2.09)	(−2.78)	(−2.77)	(−2.05)
LogTV_forg_t	0.478***	0.372***	0.420***	0.419***	0.443***	0.055	−0.058	0.019	0.019	−0.002
LogTV_forg_t	(4.00)	(3.54)	(3.86)	(3.83)	(3.77)	(0.45)	(−0.55)	(0.17)	(0.17)	(−0.02)
Ret_t	−0.117***	−0.122***	−0.119***	−0.117***	−0.126***	−0.052*	−0.041	−0.053*	−0.050	−0.041
Ret_t	(−5.68)	(−4.41)	(−4.96)	(−4.71)	(−3.82)	(−1.99)	(−1.50)	(−1.79)	(−1.65)	(−1.26)
Constant	7.779**	9.388**	9.925***	9.930***	6.829*	5.870*	6.259*	7.169**	7.154**	4.187
Constant	(2.45)	(2.37)	(2.76)	(2.74)	(1.85)	(1.90)	(1.71)	(2.08)	(2.07)	(1.24)
Year dummy	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes
Observations	5,260	5,062	5,260	5,260	5,061	5,260	5,062	5,260	5,260	5,061
Adjusted R²	0.015	0.016	0.014	0.014	0.016	0.008	0.007	0.007	0.007	0.007

	Panel A. Dependent variable: Ret_{t+1, t+5}					Panel B. Dependent variable: Mrk-adj Ret_{t+1, t+5}
	(1)	(2)	(3)	(4)	(5)	(6)	(7)	(8)	(9)	(10)
O/S_forg(Q)_t	0.116*				0.131*	0.070				0.105
O/S_forg(Q)_t	(1.76)				(1.85)	(1.04)				(1.45)
P/C_forg(Q)_t		−0.076			−0.080		−0.079			−0.082*
P/C_forg(Q)_t		(−1.49)			(−1.56)		(−1.64)			(−1.71)
Net C/S_forg(Q)_t			−0.025		−0.031			−0.011		−0.018
Net C/S_forg(Q)_t			(−0.38)		(−0.57)			(−0.17)		(−0.34)
Net P/S_forg(Q)_t				−0.006	0.003				0.011	0.021
Net P/S_forg(Q)_t				(−0.07)	(0.03)				(0.15)	(0.32)
LogSize_t	−0.609***	−0.563***	−0.619***	−0.620***	−0.547***	−0.205	−0.127	−0.211	−0.212	−0.114
LogSize_t	(−4.35)	(−3.80)	(−4.22)	(−4.21)	(−3.90)	(−1.40)	(−0.86)	(−1.40)	(−1.40)	(−0.80)
BM_t	0.226**	0.201**	0.206**	0.206**	0.227**	0.138	0.123	0.126	0.125	0.144
BM_t	(2.62)	(2.04)	(2.31)	(2.28)	(2.38)	(1.60)	(1.27)	(1.43)	(1.42)	(1.50)
STD_t	−65.614***	−57.641**	−69.378***	−69.638***	−52.368**	−49.694***	−40.465**	−52.030***	−52.235***	−36.501**
STD_t	(−3.55)	(−2.72)	(−3.50)	(−3.50)	(−2.66)	(−2.79)	(−2.09)	(−2.78)	(−2.77)	(−2.05)
LogTV_forg_t	0.478***	0.372***	0.420***	0.419***	0.443***	0.055	−0.058	0.019	0.019	−0.002
LogTV_forg_t	(4.00)	(3.54)	(3.86)	(3.83)	(3.77)	(0.45)	(−0.55)	(0.17)	(0.17)	(−0.02)
Ret_t	−0.117***	−0.122***	−0.119***	−0.117***	−0.126***	−0.052*	−0.041	−0.053*	−0.050	−0.041
Ret_t	(−5.68)	(−4.41)	(−4.96)	(−4.71)	(−3.82)	(−1.99)	(−1.50)	(−1.79)	(−1.65)	(−1.26)
Constant	7.779**	9.388**	9.925***	9.930***	6.829*	5.870*	6.259*	7.169**	7.154**	4.187
Constant	(2.45)	(2.37)	(2.76)	(2.74)	(1.85)	(1.90)	(1.71)	(2.08)	(2.07)	(1.24)
Year dummy	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes
Observations	5,260	5,062	5,260	5,260	5,061	5,260	5,062	5,260	5,260	5,061
Adjusted R²	0.015	0.016	0.014	0.014	0.016	0.008	0.007	0.007	0.007	0.007

Note(s): This table reports the results from regressions of one-week 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

[ViewLarge]

Sharing Unavailable