Informed options strategies before corporate events

Arbeitspapier

We analyze how informed investors trade in the options market ahead of corporate news when they receive private, but noisy, information about the timing and impact of these announcements on stock prices. We propose a framework that ranks options trading strategies (option type, maturity, and strike price) based on their maximum attainable leverage when price-taking investors face market frictions. We exploit the heterogeneity in announcement characteristics across twelve categories of corporate events to support that event-specific information signals are informative for announcement returns and that they impact the optimal choice of option moneyness and tenor.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: LawFin Working Paper ; No. 39

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Asset Pricing; Trading Volume; Bond Interest Rates ; Contingent Pricing; Futures Pricing; option pricing ; Information and Market Efficiency; Event Studies; Insider Trading ; Illegal Behavior and the Enforcement of Law
• Thema: corporate announcements ; derivatives ; event studies ; insider trading ; market microstructure

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Augustin, Patrick ; Brenner, Menachem ; Grass, Gunnar ; Orłowski, Piotr ; Subrahmanyam, Marti G.
• Ereignis: Veröffentlichung
• (wer): Goethe University, Center for Advanced Studies on the Foundations of Law and Finance (LawFin)
• (wo): Frankfurt a. M.
• (wann): 2022

Weitere Informationen

• Handle: http://hdl.handle.net/10419/262360
• Letzte Aktualisierung: 10.03.2025, 11:43 MEZ