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Options market makers' hedging and informed trading : theory and evidence

Huh, Sahn-Wook; Lin, Hao; Mello, António S. - In: Journal of financial markets 23 (2015), pp. 26-58

Persistent link: https://www.econbiz.de/10011377487

High-frequency measures of informed trading and corporate announcements

Brennan, Michael J.; Huh, Sahn-Wook; Subrahmanyam, Avanidhar - In: The review of financial studies 31 (2018) 6, pp. 2326-2376

Persistent link: https://www.econbiz.de/10011926626

Theory-based illiquidity and asset pricing

Chordia, Tarun; Huh, Sahn-Wook; Subrahmanyam, Avanidhar - In: The review of financial studies 22 (2009) 9, pp. 3629-3668

Persistent link: https://www.econbiz.de/10003885723

The cross-section of expected trading activity

Chordia, Tarun; Huh, Sahn-wook; Subrahmanyam, Avanidhar - In: The review of financial studies 20 (2007) 3, pp. 709-740

Persistent link: https://www.econbiz.de/10003554621

High-Frequency Measures of Informed Trading and Corporate Announcements

Brennan, Michael J. - 2017

We study informed trading around announcements of merger bids (M&AD) and quarterly earnings (EAD). Extending the EKOP (1996) approach, we compute the daily posterior probabilities of informed trading on good and bad news. We find evidence of informed trading before and after M&AD and EAD. A...

Persistent link: https://www.econbiz.de/10012972038

Options Market Makers' Hedging and Informed Trading : Theory and Evidence

Huh, Sahn-Wook - 2014

We develop a model to analyze the effects of hedging activities by options market makers (OMMs) facing informed trading. The model suggests that OMMs' hedging activities motivated by the adverse-selection risk lead to wider spreads in both stock and options markets. The hedging effect on spreads...

Persistent link: https://www.econbiz.de/10013065728

Are Japanese margin buyers informed?

Lee, Bong-soo; Ko, Kwangsoo - In: International review of financial analysis 45 (2016), pp. 47-53

Persistent link: https://www.econbiz.de/10011581876

The trading behavior and price impact of foreign, institutional, individual investors and government : evidence from Korean equity market

Hong, Gwangheon; Lee, Bong-soo - In: Japan and the world economy : international journal of … 23 (2011) 4, pp. 273-287

Persistent link: https://www.econbiz.de/10009506716

Are Japanese short sellers information detectives?

Lee, Bong-soo; Ko, Kwangsoo - In: Journal of the Japanese and international economies : … 34 (2014), pp. 89-97

Persistent link: https://www.econbiz.de/10010475488