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...

The purpose of this paper is to empirically investigate the interactive effect of turnover and task interdependence on performance in high performance strategic work teams. Based on pervious research, we contend that turnover will have a negative effect on team performance and this effect will...

In this paper we examine how the introduction of traded options impacts the volatility of REITs and whether this impact is consistent with that seen for non-REIT equities. We document a drop in REIT volatility in 1996, just as the availability of options on REITs sees significant growth. REIT...

We examine REITs at the announcement of plans for open market repurchases and determine the impact of these announcements on competing REITs. Consistent with prior research, we find evidence of significant positive returns to the repurchasing firms, on average, at announcement. We do not find...