This study finds that firm life stage affects investor behavior around earnings announcements. Introduction and decline stage companies exhibit significantly less positive cumulative abnormal returns (CARs) around positive earnings surprises and more negative CARs around negative earnings...

We employ the forward-looking implied dividend information contained in option prices to predict dividend cuts and omissions during the recent financial crisis. The large number of dividend cuts and omissions during the 2008-09 financial crisis period provides the opportunity to study the...

The recharacterization option allows IRA owners who convert a traditional IRA into a Roth IRA to choose the better of Roth or traditional treatment (for tax purposes) after returns are known. The authors used option-pricing models to estimate the value of this option and examined strategies to...

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...

Prior literature finds information is reflected in option markets before stock markets using daily and weekly trading volume, but evidence is mixed at the intraday level. Using novel intraday signed option volume data, we develop a composite option trading score (OTS) and document its stock...

Our study explores whether the disposition effect occurs in U.S. equity option markets. The disposition effect implies past winning securities will be undervalued and past losing securities will be overvalued. By adapting Grinblatt and Han's [2005] unrealized capital gains proxy to the option...

We examine how informed traders trade in the option market around news announcements. We show that their profits depend on whether positions are long or short, whether trades take place before or after news releases, and whether events are scheduled or unscheduled. We predict and find that...

The Brazilian economy is one of the fastest growing economies in the world and is currently the sixth largest. A contributing factor to recent growth is the reconstruction of the economy specifically privatization of the banking sector during the 1980s. My analysis will examine the effects of...

We explore whether changes in stock return skewness and kurtosis, as implied in option prices preceding earnings announcements, provide information about subsequent stock and option returns through the announcement. We demonstrate that the change in skewness and kurtosis can be related to...

We model deposit insurance as a European put option on the value of the bank in which bank assets follow a displaced lognormal diffusion process. We derive closed-form solutions for the value of the bank for bank equity holders, depositors, and the deposit insurer under three deposit insurance...