This paper investigates informed trading on stock volatility in the option market. Using a unique data set from the Chicago Board Options Exchange, we construct non-market maker net demand for stock volatility from the trading volume of individual equity options. We find that this volatility...

We propose a new structural form methodology for understanding the fluctuations and predictability of volatilities and covariances of asset returns. In our model, a representative agent learns about the joint movements in inflation and real earnings through business cycles. We extract investors'...

Several analytical models explain post-earnings-announcement drift, momentum and mean-reversion by making assumptions about investor behavior. They posit that investors react more strongly as a series of similar earnings surprises continues. Related literature suggests that behavior should vary...

This paper focuses on the impact that dispersion of opinions and asymmetric information have on turnover near releases of public information, using the probability of information-based trading (PIN) to proxy for information asymmetry and analysts' forecast dispersion for differences of opinion....

In this study we examine a causal relationship between series of returns and traded volumes in high-frequency data. Our analysis is based on the methodology of Ghysels, Gourieroux and Jasiak (2000), who develop a qualitative framework in which dynamics of financial series are restricted to...

This paper examines option trading prior to significant information events. Using a broad sample of merger announcements, I find that there is abnormal option trading prior to such announcements after controlling for merger characteristics. This abnormal option trading is mainly concentrated in...

This study investigates the month-of-the-year effect in Indian stock in recent years using monthly data on Indian market index and some other sectoral indices. It accounts for the time-varying volatility of the Indian stock market, at both the market and sectoral level, using the GARCH model and...

This paper presents a thorough review, including the authors' latest thinking, of one of the most persistent and troubling puzzles to the efficient market hypothesis: the closed-end fund puzzle.Financial economists have intensely scrutinised the economic explanations of the discount within the...

We investigate the dynamic of prices, information and expectations in a competitive, noisy, dynamic asset pricing equilibrium model. We look at the bias of prices as estimators of fundamental value in relation to traders' average expectations and note that prices are more (less) biased than...

We examine whether institutional investors follow each other into and out of the same industries. Our empirical results reveal strong evidence of institutional industry herding. The cross-sectional correlation between the fraction of institutional traders buying an industry this quarter and the...