Mặc dù những nghiên cứu này phát hiện lợi nhuận dài hạn rất tiêu cực mà không loại bỏ các cổ phiếu có lựa chọn giao dịch, nó sẽ là một sai lầm cho rằng lựa chọn giao dịch có tác dụng rất ít hoặc không có trên overpricing. | 246 THEORY AND EVIDENCE ON SHORT SELLING about future returns applies to the NASDAQ market as well as the NYSE and AMEX. Although these studies detect highly negative long-term returns without removing the stocks with traded options it would be a mistake to assume that traded options have little or no effect on overpricing. Bartley Danielson and Sortin Sorescu s study of options introductions between 1981 and 1995 clearly shows that options improve informational efficiency by reducing the cost of short They find that prices decline and short interest increases for stocks just after their options are first listed. The increase in short interest appears to be due to the purchase of puts by previously constrained short sellers whose intent is then transferred into short sales by the hedging activities of the put writers. As long as the marginal put writer is a market professional with transactions cost advantages at short selling the put contracts will represent a reduction in the cost of constructing an effective short position. Diamond and Verrecchia predict that the lower costs of options will obscure the information content of short interest but Danielson and Sorescu s price declines are unique to the overpricing hypothesized by Figlewski and Miller. Also consistent with the overpricing hypothesis Danielson and Sorescu find that the price declines are larger in stocks with higher betas and greater dispersion of investor opinions as proxied for by volume return volatility and analysts forecasts. They suggest however that these predictable price declines are not exploitable because of the high cost of short selling these stocks prior to the listing of their options. The magnitude of these negative returns reported by Asquith and Meulbroek as well as Desai et al. raises an important question. That is beyond the point that high short interest predicts negative future returns what factors determine the level of short interest in a stock The fact that excess
