Narrow search
Showing 1 - 10 of 784
Cover Image
Informed Trading Around Merger and Acquisition Announcements : Evidence from the UK Equity and Options Market
Siougle, Georgia - 2011
This paper offers new evidence on informed trading around merger and acquisition announcements from the UK equity and options market. The analysis suggests that in about 25%-33% of events there is abnormal option trading volume during the month that precedes the announcement. Such evidence is...
Persistent link: https://www.econbiz.de/10013133655
Cover Image
Informed Options Trading Prior to Takeover Rumors
Khadivar, Hamed; Davis, Frederick James; Walker, Thomas John - 2022
We examine derivatives trading prior to takeover rumors in a sample of 1,638 publicly traded U.S. firms. The volume of … options traded. In addition, the direction of option trades (abnormal call volume minus abnormal put volume) prior to takeover … rumors predicts forthcoming takeover announcements and rumor date returns. Identifying suspicious trades, we find evidence of …
Persistent link: https://www.econbiz.de/10014238260
Cover Image
Option Momentum
Heston, Steven L.; Li, Shuaiqi - 2021
This paper improves continuous-time variance swap approximation formulas to derive exact returns on benchmark VIX option portfolios. The new methodology preserves the variance swap interpretation that decomposes returns into realized variance and option implied-variance.We apply this new...
Persistent link: https://www.econbiz.de/10013249009
Cover Image
Unlocking ESG premium from options
Cao, Jie; Goyal, Amit; Zhan, Xintong; Zhang, Weiming Elaine - 2021
We find that option expensiveness, as measured by delta-hedged option returns, is higher for low-ESG stocks, indicating that investors pay a premium in the option market to hedge ESG-related uncertainty. We estimate this ESG premium to be about 0.3% per month. All three components of ESG...
Persistent link: https://www.econbiz.de/10012593635
Cover Image
The Stock and Option Market Response to Negative ESG News
Orpiszewski, Tomasz; Thompson, Mark; Schwendner, Peter - 2023
This study investigates the response of stock prices and equity options to negative ESG incidents reported by RepRisk for S&P 500 companies between 2006 and 2021, considering the increasing significance of ESG ratings among fund managers and the widespread utilization of financial derivatives by...
Persistent link: https://www.econbiz.de/10014350026
Cover Image
Merger options and risk arbitrage
Van Tassel, Peter - 2016
Option prices embed predictive content for the outcomes of pending mergers and acquisitions. This is particularly important in merger arbitrage, where deal failure is a key risk. In this paper, I propose a dynamic asset pricing model that exploits the joint information in target stock and option...
Persistent link: https://www.econbiz.de/10011413251
Cover Image
Using Option Prices to Infer Overpayments and Synergies in M&A Transactions
Barraclough, Kathryn - 2012
In this paper, we use call option prices to identify synergies and news from merger and acquisition (M&A) transaction announcements. We find that M&A announcements result in large and approximately equal gains to the bidder and the target on average, with the combined gains being large enough to...
Persistent link: https://www.econbiz.de/10013113888
Cover Image
Informed Options Trading Prior to Takeovers – Does the Regulatory Environment Matter?
Podolski, Edward - 2014
We investigate the prevalence of informed options trading prior to takeover announcements, when the legal prohibition … detectable. We find that privately informed investors trade in the options market prior to takeover announcements; however, their … takeover announcements, informed investors trade on their private information in the options market only when a SEC …
Persistent link: https://www.econbiz.de/10013068795
Cover Image
Informed Options Trading Prior to M&A Announcements : Insider Trading?
Augustin, Patrick - 2015
We document pervasive informed trading activity in equity options before M&A announcements. About 25% of takeovers have positive abnormal volumes. These volume patterns indicate that informed traders are likely using bullish directional strategies for the target and volatility strategies for the...
Persistent link: https://www.econbiz.de/10013033511
Cover Image
Variation in Option Implied Volatility Spread and Future Stock Returns
DeLisle, Jared - 2020
Equity option markets exhibit intense trading activity. We use the variability of option implied volatility spread as a proxy for the impounding of new information, and changes in the interpretation of existing information, into option prices. Over the 2006 – 2016 period, we find that the...
Persistent link: https://www.econbiz.de/10012836056