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nature of informed option trading

Name: nature of informed option trading
Brand: Grin Publishing
SKU: 05284231
Price: 39.92 EUR
Availability: InStock
Author: Marco Klapper
ISBN: 9783656504337

Evidence from the takeover market

Marco Klapper

Language

English

Book Paperback

Libristo code: 05284231

Publishers Grin Publishing, September 2013

Master's Thesis from the year 2013 in the subject Business economics - Investment and Finance, grade... Full description

Libristo code: 05284231

97 b

39.92 €

78.07 лв

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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, comment: The thesis was successfully defended on September 18th. Graduation with honors (highest distinction/cum laude). An 8.5 out of 10 in the Netherlands corresponds to an A+ in USA, an A (first) in UK or an 1.0 in Germany. , 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.