This dissertation focuses on the cross-sectional effects of option listing on the return variance of the underlying securities and makes two primary contributions. First, unlike previous literature, this dissertation develops a set of hypotheses to explain cross-sectional differences in variance changes associated with option listings. Second, this dissertation decomposes transactions variance into three components, that due to the bid-ask spread, return autocorrelations, and intrinsic variance, and theoretically links the change in each component to firm-specific factors. Empirical models are developed to test the thirteen derived theoretical relationships. / The results of the estimation of the first set of models, which use the change in the bid-ask spread as a dependent variable, suggest that changes in dealer holding risk, dealer transactions costs, and the value to dealers of new demand information are significant factors in explaining cross-sectional variation in changes in the bid-ask spread. / Estimation of the second set of models, which use changes in the values of specific autocorrelation lags as dependent variables, suggest that changes in the quantity of information produced by analysts on the underlying firm and the value to dealers of new information on future demand are significant in explaining differences in changes in the return autocorrelation structure observed following option listing. / Finally, estimation of the third set of models, which use changes in intrinsic variance as a dependent variable, suggest that changes in the clientele that trade the underlying security, information quality, and the average time between trades play a significant role in explaining the changes in intrinsic variance that follow option listings. / Source: Dissertation Abstracts International, Volume: 55-03, Section: A, page: 0630. / Major Professor: David R. Peterson. / Thesis (Ph.D.)--The Florida State University, 1994.
| Identifer | oai:union.ndltd.org:fsu.edu/oai:fsu.digital.flvc.org:fsu_77117 |
| Contributors | Niendorf, Bruce David., Florida State University |
| Source Sets | Florida State University |
| Language | English |
| Detected Language | English |
| Type | Text |
| Format | 174 p. |
| Rights | On campus use only. |
| Relation | Dissertation Abstracts International |
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