Table 13 Institutional and individual...

Table 13

Institutional and individual option buying and selling ratios and future returns

	Ret_t+1	Mrk-adj Ret_t+1	Ret_{t+1, t+5}	Mrk-adj Ret_{t+1, t+5}
	(1)	(2)	(3)	(4)
BC/S_inst(Q)_t	−0.005	−0.016	−0.005	−0.042
BC/S_inst(Q)_t	(−0.24)	(−0.88)	(−0.11)	(−1.07)
SC/S_inst(Q)_t	0.031	0.038**	0.053	0.089**
SC/S_inst(Q)_t	(1.57)	(2.26)	(1.14)	(2.51)
BP/S_inst(Q)_t	−0.053***	−0.045***	−0.120**	−0.104**
BP/S_inst(Q)_t	(−3.28)	(−3.22)	(−2.55)	(−2.53)
SP/S_inst(Q)_t	0.046**	0.041**	0.117***	0.107***
SP/S_inst(Q)_t	(2.24)	(2.70)	(3.24)	(3.42)
BC/S_indi(Q)_t	−0.005	−0.010	−0.008	−0.030
BC/S_indi(Q)_t	(−0.32)	(−0.80)	(−0.21)	(−1.14)
SC/S_indi(Q)_t	−0.003	−0.000	−0.027	−0.031
SC/S_indi(Q)_t	(−0.19)	(−0.00)	(−0.75)	(−1.01)
BP/S_indi(Q)_t	−0.009	−0.011	−0.007	−0.005
BP/S_indi(Q)_t	(−0.63)	(−0.88)	(−0.21)	(−0.17)
SP/S_indi(Q)_t	0.015	0.011	0.049	0.026
SP/S_indi(Q)_t	(1.15)	(0.85)	(1.31)	(0.74)
LogSize_t	−0.017	−0.009	0.015	−0.014
LogSize_t	(−0.66)	(−0.42)	(0.14)	(−0.18)
BM_t	0.051***	0.018	0.187***	0.063
BM_t	(2.91)	(1.16)	(2.75)	(1.07)
STD_t	9.660***	2.058	56.765***	14.388
STD_t	(3.09)	(0.79)	(3.71)	(1.24)
LogTV_t	0.045*	0.014	0.123	0.040
LogTV_t	(1.92)	(0.72)	(1.51)	(0.64)
Ret_t	−0.034***	−0.027***	−0.046***	−0.059***
Ret_t	(−4.14)	(−3.98)	(−3.76)	(−4.68)
Constant	−0.925**	−0.151	−5.079**	−0.669
Constant	(−2.09)	(−0.43)	(−2.53)	(−0.44)
Year dummy	Yes	Yes	Yes	Yes
Observations	42,696	42,696	42,555	42,555
Adjusted R²	0.003	0.001	0.010	0.002

	Ret_t+1	Mrk-adj Ret_t+1	Ret_{t+1, t+5}	Mrk-adj Ret_{t+1, t+5}
	(1)	(2)	(3)	(4)
BC/S_inst(Q)_t	−0.005	−0.016	−0.005	−0.042
BC/S_inst(Q)_t	(−0.24)	(−0.88)	(−0.11)	(−1.07)
SC/S_inst(Q)_t	0.031	0.038**	0.053	0.089**
SC/S_inst(Q)_t	(1.57)	(2.26)	(1.14)	(2.51)
BP/S_inst(Q)_t	−0.053***	−0.045***	−0.120**	−0.104**
BP/S_inst(Q)_t	(−3.28)	(−3.22)	(−2.55)	(−2.53)
SP/S_inst(Q)_t	0.046**	0.041**	0.117***	0.107***
SP/S_inst(Q)_t	(2.24)	(2.70)	(3.24)	(3.42)
BC/S_indi(Q)_t	−0.005	−0.010	−0.008	−0.030
BC/S_indi(Q)_t	(−0.32)	(−0.80)	(−0.21)	(−1.14)
SC/S_indi(Q)_t	−0.003	−0.000	−0.027	−0.031
SC/S_indi(Q)_t	(−0.19)	(−0.00)	(−0.75)	(−1.01)
BP/S_indi(Q)_t	−0.009	−0.011	−0.007	−0.005
BP/S_indi(Q)_t	(−0.63)	(−0.88)	(−0.21)	(−0.17)
SP/S_indi(Q)_t	0.015	0.011	0.049	0.026
SP/S_indi(Q)_t	(1.15)	(0.85)	(1.31)	(0.74)
LogSize_t	−0.017	−0.009	0.015	−0.014
LogSize_t	(−0.66)	(−0.42)	(0.14)	(−0.18)
BM_t	0.051***	0.018	0.187***	0.063
BM_t	(2.91)	(1.16)	(2.75)	(1.07)
STD_t	9.660***	2.058	56.765***	14.388
STD_t	(3.09)	(0.79)	(3.71)	(1.24)
LogTV_t	0.045*	0.014	0.123	0.040
LogTV_t	(1.92)	(0.72)	(1.51)	(0.64)
Ret_t	−0.034***	−0.027***	−0.046***	−0.059***
Ret_t	(−4.14)	(−3.98)	(−3.76)	(−4.68)
Constant	−0.925**	−0.151	−5.079**	−0.669
Constant	(−2.09)	(−0.43)	(−2.53)	(−0.44)
Year dummy	Yes	Yes	Yes	Yes
Observations	42,696	42,696	42,555	42,555
Adjusted R²	0.003	0.001	0.010	0.002

Note(s): This table reports the results from regressions of future returns on the institutional and individual option buying and selling volume ratio quintiles, that is, BC/S_inst(Q), SC/S_inst(Q), BP/S_inst(Q), SP/S_inst(Q), BC/S_indi(Q), SC/S_indi(Q), BP/S_indi(Q) and SP/S_indi(Q). The dependent variables in regressions 1, 2, 3 and 4, the dependent variables are the next-day raw return, the next-day market-adjusted return, the next-week raw return and the next-week market-adjusted return, respectively. 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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