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Informed options strategies before corporate events
Augustin, Patrick; Brenner, Menachem; Grass, Gunnar; … - 2022
We analyze how informed investors trade in the options market ahead of corporate news when they receive private, but noisy, information about the timing and impact of these announcements on stock prices. We propose a framework that ranks options trading strategies (option type, maturity, and...
Persistent link: https://www.econbiz.de/10013332282
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Central bank-driven mispricing
Pelizzon, Loriana; Subrahmanyam, Marti G.; Tomio, Davide; … - 2018 - This version: August 2018
We show that bond purchases undertaken in the context of quantitative easing efforts by the European Central Bank …. On top of the direct effect the buying pressure exerted on bond prices, we show three indirect effects through which the …: the deterioration of bond market liquidity, the increased bond specialness on the repurchase agreement market, and the …
Persistent link: https://www.econbiz.de/10011892699
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Central bank-driven mispricing
Pelizzon, Loriana; Subrahmanyam, Marti G.; Tomio, Davide; … - 2018 - This version: October 2018
We show that bond purchases undertaken in the context of quantitative easing efforts by the European Central Bank …. On top of the direct effect the buying pressure exerted on bond prices, we show three indirect channels through which the …: the deterioration of bond market liquidity, the increased bond specialness on the repurchase agreement market, and the …
Persistent link: https://www.econbiz.de/10012062155
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The Rules of the Rating Game : Market Perception of Corporate Ratings
Jankowitsch, Rainer - 2020
corporate bond market, we find that the informativeness of rating changes is low when the economy is booming and regulation …
Persistent link: https://www.econbiz.de/10012856032
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Credit risk and the yen interest rate swap market
Eom, Young Ho; Subrahmanyam, Marti G.; Uno, Jun - 2000
In this paper, we investigate the pricing of Japanese yen interest rate swaps during the period 1990-96. We obtain measures of the spreads of the swap rates over comparable Japanese Government Bonds (JGBs) for different maturities and analyze the relationship between the swap spreads and credit...
Persistent link: https://www.econbiz.de/10005846834
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Informed options strategies before corporate events
Augustin, Patrick; Brenner, Menachem; Grass, Gunnar; … - 2022
We analyze how informed investors trade in the options market ahead of corporate news when they receive private, but noisy, information about the timing and impact of these announcements on stock prices. We propose a framework that ranks options trading strategies (option type, maturity, and...
Persistent link: https://www.econbiz.de/10013339584
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Why do investors buy sovereign default insurance?
Augustin, Patrick; Sokolovski, Valeri; Subrahmanyam, … - 2016
We provide a comprehensive analysis of the determinants of trading in the sovereign credit default swaps (CDS) market, using weekly data for single-name sovereign CDS from October 2008 to September 2015. We describe the anatomy of the sovereign CDS market, derive a law of motion for gross...
Persistent link: https://www.econbiz.de/10011541794
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How do insiders trade?
Augustin, Patrick; Brenner, Menachem; Grass, Gunnar; … - 2016
We characterize how informed investors trade in the options market ahead of corporate news when they receive private, but noisy, information about (i) the timing of the announcement and (ii) its impact on stock prices. Our theoretical framework generates a rich set of predictions about the...
Persistent link: https://www.econbiz.de/10011541795
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Why do investors buy sovereign default insurance?
Augustin, Patrick; Sokolovski, Valeri; Subrahmanyam, … - 2016
We provide a comprehensive analysis of the determinants of trading in the sovereign credit default swaps (CDS) market, using weekly data for single-name sovereign CDS from October 2008 to September 2015. We describe the anatomy of the sovereign CDS market, derive a law of motion for gross...
Persistent link: https://www.econbiz.de/10011541398
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How do insiders trade?
Augustin, Patrick; Brenner, Menachem; Grass, Gunnar; … - 2016
We characterize how informed investors trade in the options market ahead of corporate news when they receive private, but noisy, information about (i) the timing of the announcement and (ii) its impact on stock prices. Our theoretical framework generates a rich set of predictions about the...
Persistent link: https://www.econbiz.de/10011541417