The British Petroleum (BP) Deepwater Horizon drilling rig exploded in the Gulf of Mexico on April 20, 2010, leading to an unprecedented environmental and financial disaster. This paper details responses in the financial markets for BP securities, including ADRs, bonds, options, and credit...

Corporate-level fraudulent activity has instilled a state of concern and heightened awareness in investors, the media and employees alike as perceived sensitivity to illegal behavior continues to increase. With corporate giants such as Enron, Tyco and Health South being prime examples of this...

The structure of a firm-commitment Seasoned Equity Offering (SEO) resembles a put option underwritten by an investment bank syndicate. Employing implied volatilities from issuers' stock options as a direct forward-looking measure, this paper examines the impact of expected price risk on the...

Prior literature shows that the implied volatility spread between call and put options is a bullish signal for future returns on the underlying stocks. A common interpretation is that a high call-put implied volatility spread indicates favorable private information revealed by informed option...

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...

This paper examines the historical performance of 12 portfolios that include Samp;P 100/500 index options. Each option portfolio is formed using options with different maturities and moneyness, while incorporating bid-ask spreads, transaction costs, and margin requirements. Raw and risk-adjusted...

Executive stock options (ESOs) have been extensively examined. An unexplored but highly relevant issue is how the options are valued and what information this valuation provides to the market. Understanding ESOs valuation is difficult because there is no set method. Using a model such as...

Investors and analysts classify firms to conduct valuations or to evaluate performance. The industry groupings usually rely on SIC, NAIC, GICS, or Fama-French classifications. Our purpose is to form groups of companies based on the structure of their financial statements. Using cluster analysis,...

Past works have documented the predictive power of short-term stock return momentum and option volume ratios for future stock returns. We find option volume ratios have greater power to predict future returns when evidence prices are out of equilibrium exists, proxied for by increases in implied...

This paper examines the benefits and costs of investing in firm specific options as an additional investment in a portfolio. We examine twelve option strategies and find that there is significant negative (positive) abnormal return to buying (selling) puts from January 1996 through July 2006....