The nature of informed option trading

Editora:

GRIN Verlag

Código:

491_9783656504337

Vendido e entregue por Um Livro

De: R$ 0,00Por: R$ 349,20ou 3X de R$ 116,40

Comprar

Sinopse
Características

Masters 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.

Veja mais

Calcule o valor do frete e prazo de entrega para a sua região