Option Trading Activity, News Releases, and Stock Return Predictability

Autor:	David Weinbaum, Andrew Fodor, Dmitriy Muravyev, Martijn Cremers
Rok vydání:	2022
Předmět:	Strategy and Management Management Science and Operations Research
Zdroj:	Management Science.
ISSN:	1526-5501 0025-1909
DOI:	10.1287/mnsc.2022.4543
Popis:	We examine which categories of option trading volume carry information about future stock prices around corporate news announcements. We predict and find that purchases of options are informative on news days and ahead of unscheduled events but not before scheduled events, and sales of options predict returns only ahead of scheduled news releases. Therefore, although the arrival of new information is an important reason why option volume predicts stock returns, this relation depends on whether the information is scheduled or unscheduled because only the former affects volatility and thus option prices. We also study how trading costs and margin costs affect ex post profitability around news. This paper was accepted by Karl Diether, finance.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::5d9900a7a9b03f4c303e700a94909ab5 https://doi.org/10.1287/mnsc.2022.4543 Zobrazit plný text záznamu