{"product_id":"options-and-market-efficiency-a-big-data-approach-von-rajeev-r-bhattacharya","title":"Options and Market Efficiency","description":"\u003cp\u003eI use five separate measures of deviation from Put-Call Parity of options on a stock without splits or dividends as separate negative measures for efficiency of the market ecosystem consisting of the underlying stock, derivatives, and risk-free securities. I develop a theory of trading volume as a function of short sales costs, dispersion of investor valuations, float, and transaction costs, and that of market efficiency as a function of trading volume and number of analysts covering the stock. I use Three-Stage Least Squares (3SLS) to estimate this structural system, separately for Nasdaq and non-Nasdaq U.S. stocks, over 1996-2015. I find, contrary to much previous theoretical and empirical work, that the impact of short sales costs \u0026amp; constraints on market efficiency is not significantly negative and that the impact of trading volume on market efficiency is not significantly positive.\u003c\/p\u003e\u003cdiv class=\"aw-variant-hidden-subtitle-div\" id=\"aw-variant-subtitle-9786200532282\"\u003e\u003ch3\u003eA Big Data Approach\u003c\/h3\u003e\u003c\/div\u003e","brand":"Libri","offers":[{"title":"Softcover - 9786200532282","offer_id":39464630747229,"sku":"9786200532282","price":54.9,"currency_code":"EUR","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0940\/0622\/files\/43e1e0a7-d242-429d-a02c-d49fae31c2a0.jpg?v=1776143770","url":"https:\/\/shop.autorenwelt.de\/en\/products\/options-and-market-efficiency-a-big-data-approach-von-rajeev-r-bhattacharya","provider":"Autorenwelt Shop","version":"1.0","type":"link"}