| Autor: |
Collin-Dufresne, Pierre, Fos, Vyacheslav, Muravyev, Dmitry |
| Předmět: |
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| Zdroj: |
Journal of Financial & Quantitative Analysis; Sep2021, Vol. 56 Issue 6, p1945-1984, 40p |
| Abstrakt: |
When activist shareholders file Schedule 13D filings, the average stock-price volatility drops by approximately 10%. Prior to filing days, volatility information is reflected in option prices. Using a comprehensive sample of trades by Schedule 13D filers that reveals on what days and in what markets they trade, we show that on days when activists accumulate shares, option-implied volatility decreases, implied volatility skew increases, and implied volatility time slope increases. The evidence is consistent with a theoretical model where it is common knowledge that informed trading occurs only in the stock market and market makers update option prices based on stock-price and order-flow dynamics. [ABSTRACT FROM AUTHOR] |
| Databáze: |
Complementary Index |
| Externí odkaz: |
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