Net buying pressure and informed trading in the options market: Evidence from earnings announcements

Artikel

By employing the modified net buying pressure as a measure of informed option trading, this study tested whether option trading around quarterly earnings announcements is either directionally motivated and/or volatility motivated. We found evidence that is consistent with the idea that option investors have private information prior to positive earnings announcements and use at-the-money options to exploit their informational advantage. In the post-event period, however, informed option investors trade by using deep-out-of-the-money and out-of-the-money options. We documented limited evidence on the volatility-motivated option trading, and our results suggest that this type of option trading could be motivated by hedging purposes only.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 15 ; Year: 2022 ; Issue: 2 ; Pages: 1-9 ; Basel: MDPI

Klassifikation und Themen

• Klassifikation: Wirtschaft ; General Financial Markets: General (includes Measurement and Data) ; Contingent Pricing; Futures Pricing; option pricing ; Information and Market Efficiency; Event Studies; Insider Trading
• Thema: earnings ; announcements ; options ; informed trading ; net buying pressure ; volatility ; direction ; at-the-money ; out-of-the-money ; deep-out-of-the-money

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Badshah, Ihsan Ullah ; Koerniadi, Hardjo
• Ereignis: Veröffentlichung
• (wer): MDPI
• (wo): Basel
• (wann): 2022

Weitere Informationen

• DOI: doi:10.3390/jrfm15020053
• Handle: http://hdl.handle.net/10419/258777
• Letzte Aktualisierung: 10.03.2025, 11:41 MEZ