We employ the implied volatility spread (IVS) and the short lending fee as measures of privateinformation conveyed by their respective markets. Using credit rating announcements as aninformational event, we find that both IVS and the short fee have significantly higher predictivepower for...

One of the explanations offered for stock splits is that the split signals positive information by reducing the stock price range in expectation of improved future prospects. Price declines also lead to changes in the stock price dynamics but related securities are not subject to these other...