The Nature Of Informed Option Trading Evidence From The Takeover Market

Author : Marco Klapper
Publisher : Anchor Academic Publishing (aap_verlag)
Page : 70 pages
File Size : 52,7 Mb
Release : 2014-02-01
Category : Business & Economics
ISBN : 9783954896721

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The nature of informed option trading: Evidence from the takeover market by Marco Klapper Pdf

This study examines the kind of information ‘informed’ traders have prior to a takeover announcement using options of target firms and elaborates on the cross-sectional relationship between options and stocks around takeover announcements. Financial markets are driven by information and by individuals that generate, process, and disclose this information to the market. Naturally, there have to be individuals who possess more information about a firm or a future event than other market participants. Mergers and acquisitions are particularly interesting events in this regard because they can have significant implications for the firms and stakeholders involved, as well as for the competitive dynamics in the respective market. Because of the large potential price impact of such transactions, traders with private information about a prospective takeover are expected to trade on this information to make a profit. But who are these ‘informed traders’ and what kind of information do they possess? This study tries to give a respond to this question.

Author : Marco Klapper
Publisher : GRIN Verlag
Page : 68 pages
File Size : 41,7 Mb
Release : 2013-09-25
Category : Business & Economics
ISBN : 9783656504443

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The nature of informed option trading by Marco Klapper Pdf

Master's Thesis from the year 2013 in the subject Business economics - Investment and Finance, grade: 8.5 (A+), Erasmus University Rotterdam (Rotterdam School of Management), language: English, abstract: This thesis examines the kind of information “informed” traders have prior to a takeover announcement using options of target firms. I find that option liquidity rises before a takeover announcement, indicating the presence of informed traders. Using 2,390 M&A events, I show that the implied volatility (IV) skew and the relative option-to-stock trading volume O/S predict negatively on target announcement returns, but that the difference between implied volatilities of calls and puts (IV spread) has no predictive power. The main results indicate that the predictive power of these three informed option trading proxies increases if target management is entrenched and if the bidder and the target are in the same industry. I conclude that informed trading is partially driven by industry insiders with specific knowledge about the future acquisition. However, the results are only significant for one or two informed option trading proxies at a time.

Author : Iván Blanco ,David Wehrheim
Publisher : Ed. Universidad de Cantabria
Page : 90 pages
File Size : 44,7 Mb
Release : 2019-02-15
Category : Business & Economics
ISBN : 9788481028775

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Three Essays in Financial Markets. The Bright Side of Financial Derivatives: Options Trading and Firm Innovation by Iván Blanco ,David Wehrheim Pdf

Do financial derivatives enhance or impede innovation? We aim to answer this question by examining the relationship between equity options markets and standard measures of firm innovation. Our baseline results show that firms with more options trading activity generate more patents and patent citations per dollar of R&D invested. We then investigate how more active options markets affect firms' innovation strategy. Our results suggest that firms with greater trading activity pursue a more creative, diverse and risky innovation strategy. We discuss potential underlying mechanisms and show that options appear to mitigate managerial career concerns that would induce managers to take actions that boost short-term performance measures. Finally, using several econometric specifications that try to account for the potential endogeneity of options trading, we argue that the positive effect of options trading on firm innovation is causal.

Author : J. Fred Weston,Mark L. Mitchell,J. Harold Mulherin
Publisher : Pearson Higher Ed
Page : 641 pages
File Size : 47,6 Mb
Release : 2013-08-27
Category : Business & Economics
ISBN : 9781292034119

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Takeovers, Restructuring, and Corporate Governance by J. Fred Weston,Mark L. Mitchell,J. Harold Mulherin Pdf

For undergraduate/graduate-level courses on Mergers and Acquisitions, or as a supplement for Business or Corporate Finance, Economics, or Strategy. This book brings together conceptual and updated empirical material in a systematic way. It provides students with a basis for understanding mergers and acquisitions and corporate restructuring in the framework of strategic planning issues facing managers in all companies, small and large. The full text downloaded to your computer With eBooks you can: search for key concepts, words and phrases make highlights and notes as you study share your notes with friends eBooks are downloaded to your computer and accessible either offline through the Bookshelf (available as a free download), available online and also via the iPad and Android apps. Upon purchase, you'll gain instant access to this eBook. Time limit The eBooks products do not have an expiry date. You will continue to access your digital ebook products whilst you have your Bookshelf installed.

Author : United States. Congress. Senate. Committee on Banking, Housing, and Urban Affairs
Publisher : Unknown
Page : 180 pages
File Size : 43,8 Mb
Release : 1987
Category : Brokers
ISBN : STANFORD:36105045181455

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Improper Activities in the Securities Industry by United States. Congress. Senate. Committee on Banking, Housing, and Urban Affairs Pdf

Author : Larry Harris
Publisher : CFA Institute Research Foundation
Page : 94 pages
File Size : 43,7 Mb
Release : 2015-10-19
Category : Business & Economics
ISBN : 9781934667927

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Trading and Electronic Markets: What Investment Professionals Need to Know by Larry Harris Pdf

The true meaning of investment discipline is to trade only when you rationally expect that you will achieve your desired objective. Accordingly, managers must thoroughly understand why they trade. Because trading is a zero-sum game, good investment discipline also requires that managers understand why their counterparties trade. This book surveys the many reasons why people trade and identifies the implications of the zero-sum game for investment discipline. It also identifies the origins of liquidity and thus of transaction costs, as well as when active investment strategies are profitable. The book then explains how managers must measure and control transaction costs to perform well. Electronic trading systems and electronic trading strategies now dominate trading in exchange markets throughout the world. The book identifies why speed is of such great importance to electronic traders, how they obtain it, and the trading strategies they use to exploit it. Finally, the book analyzes many issues associated with electronic trading that currently concern practitioners and regulators.

Author : Alon Brav,Wei Jiang,Hyunseob Kim
Publisher : Now Publishers Inc
Page : 76 pages
File Size : 54,9 Mb
Release : 2010
Category : Business & Economics
ISBN : 9781601983381

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Hedge Fund Activism by Alon Brav,Wei Jiang,Hyunseob Kim Pdf

Hedge Fund Activism begins with a brief outline of the research literature and describes datasets on hedge fund activism.

Author : Joel Hasbrouck
Publisher : Oxford University Press
Page : 208 pages
File Size : 47,8 Mb
Release : 2007-01-04
Category : Business & Economics
ISBN : 0198041306

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Empirical Market Microstructure by Joel Hasbrouck Pdf

The interactions that occur in securities markets are among the fastest, most information intensive, and most highly strategic of all economic phenomena. This book is about the institutions that have evolved to handle our trading needs, the economic forces that guide our strategies, and statistical methods of using and interpreting the vast amount of information that these markets produce. The book includes numerous exercises.

Author : Heather Elise Tookes
Publisher : Unknown
Page : 592 pages
File Size : 55,7 Mb
Release : 2003
Category : Electronic
ISBN : CORNELL:31924098294204

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Information, Trading and Product Market Interactions by Heather Elise Tookes Pdf

Author : Anjan V. Thakor,Arnoud W. A. Boot
Publisher : Elsevier
Page : 605 pages
File Size : 50,8 Mb
Release : 2008-07-07
Category : Business & Economics
ISBN : 9780080559926

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Handbook of Financial Intermediation and Banking by Anjan V. Thakor,Arnoud W. A. Boot Pdf

The growth of financial intermediation research has yielded a host of questions that have pushed "design" issues to the fore even as the boundary between financial intermediation and corporate finance has blurred. This volume presents review articles on six major topics that are connected by information-theoretic tools and characterized by valuable perspectives and important questions for future research. Touching upon a wide range of issues pertaining to the designs of securities, institutions, trading mechanisms and markets, industry structure, and regulation, this volume will encourage bold new efforts to shape financial intermediaries in the future. Original review articles offer valuable perspectives on research issues appearing in top journals Twenty articles are grouped by six major topics, together defining the leading research edge of financial intermediation Corporate finance researchers will find affinities in the tools, methods, and conclusions featured in these articles

Author : Rachel Federman
Publisher : HarperCollins UK
Page : 0 pages
File Size : 52,5 Mb
Release : 2016-09-08
Category : Humor
ISBN : 9780008200251

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Test Your Toddler by Rachel Federman Pdf

The perfect gift book for parents of toddlers everywhere! Assess your toddlerâe(tm)s genius in a series of fun and easy tests and activities, in the next title in the best-selling TEST YOUR series. Toddler: âe~emotionally unstable, pint-sized dictator with the uncanny ability to know exactly how far to push you towards utter insanity before reverting to a lovable cuddle monster.âe(tm) Well done. Youâe(tm)ve survived the first year of incoherent babble, unexplained crying, and relentless sleep deprivation. Welcome to the toddler years. And good luck. In baby music class, does little Oscar channel Buddy Rich on drums, or gleefully gnaw his kazoo? Does precious Poppy know how to write her name, or does she act like sheâe(tm)s in the witness protection program each time you call her? Do refusals to let tiny Charlie build a fort in the oven lead to utter meltdown or a calm nod and change of plans? With Test Your Toddler, discover more about your own tiny dictator with a series of fun tests and activities to confirm whether your toddler really is an undiscovered genius.

Author : Anonim
Publisher : Unknown
Page : 58 pages
File Size : 42,7 Mb
Release : 1987
Category : Insider trading in securities
ISBN : UOM:35128000996510

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Stock Trading Before the Announcement of Tender Offers by Anonim Pdf

Author : Bernard Dumas,Jeff Fleming,Robert E. Whaley
Publisher : Unknown
Page : 34 pages
File Size : 41,8 Mb
Release : 1996
Category : Options (Finance)
ISBN : OCLC:258398814

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Implied Volatility Functions by Bernard Dumas,Jeff Fleming,Robert E. Whaley Pdf

Abstract: Black and Scholes (1973) implied volatilities tend to be systematically related to the option's exercise price and time to expiration. Derman and Kani (1994), Dupire (1994), and Rubinstein (1994) attribute this behavior to the fact that the Black-Scholes constant volatility assumption is violated in practice. These authors hypothesize that the volatility of the underlying asset's return is a deterministic function of the asset price and time and develop the deterministic volatility function (DVF) option valuation model, which has the potential of fitting the observed cross-section of option prices exactly. Using a sample of S & P 500 index options during the period June 1988 through December 1993, we evaluate the economic significance of the implied deterministic volatility function by examining the predictive and hedging performance of the DV option valuation model. We find that its performance is worse than that of an ad hoc Black-Scholes model with variable implied volatilities.

Author : Sharon Pamepinto
Publisher : Unknown
Page : 598 pages
File Size : 49,6 Mb
Release : 1987
Category : Business & Economics
ISBN : STANFORD:36105043962997

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Can States Stop Corporate Takeovers? by Sharon Pamepinto Pdf

Author : Hersh Shefrin
Publisher : College Ie Overruns
Page : 300 pages
File Size : 51,5 Mb
Release : 2017-04-16
Category : Corporations
ISBN : 1259254860

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Behavioral Corporate Finance by Hersh Shefrin Pdf