We examine the informed trading in the options market for firms announcing CEO turnover and their suppliers and find that pre-announcement options trading in both announcing firms and the suppliers have predictive power for abnormal returns around forced CEO turnover events. This effect is...

We investigate the informational content of credit default swap (CDS) spreads for future volatility of (firm) assets and equity. In the cross-section, CDS spreads are significantly more informative about future asset than equity volatility. The informational content of historical and option...

This paper examines the effects of public news releases on the market liquidity in one of the most important OTC derivatives markets — the CDS market. We document that, at the time of news releases, the bid-ask spread is wider, the number of quotes is larger, and the number of dealers is...

Bessembinder and Zhang (2013) show that long-run abnormal returns after major corporate events detected by the BHAR method using size and book-to-market matched control stocks can be explained by differences between event and control stocks' unsystematic and systematic characteristics. We find...

Seasoned equity offerings (SEOs) typically provide investors with information, or signals, that are stock price relevant. This information, however, is generally intangible, meaning market participants have incomplete knowledge about its quality. Investors thus tend to regard it as ambiguous. To...

We investigate the dynamics of heterogeneous beliefs and link them to the volatility pattern throughout the seasoned equity offering (SEO) event window. In sync with a reduction in information asymmetry related to management information releases around the SEO event, belief heterogeneity...

We examine the relation between stock volatility and asymmetric information empirically. We use two proxies of information asymmetry: institutional ownership and analyst coverage. We find that firms covered by more analysts are more likely to have less volatile returns. A significant and...

The divergence of opinion model originally proposed by Miller (1977) has recently received a great deal of attention. Focusing on the unique offering process of Japanese seasoned equity offerings (SEOs), we are able to directly test the Miller model. A comparable analysis cannot be performed on...