The Decline of Informed Trading in the Equity and Options Markets

Autor:	Charles Cao, Timothy T. Simin, David Gempesaw
Rok vydání:	2018
Předmět:	Economics and Econometrics 050208 finance Financial economics business.industry 05 social sciences Equity (finance) Uncorrelated Hedge fund 0502 economics and business Active management Economics Predictive power Market return 050207 economics business Excess return Finance
Zdroj:	The Journal of Alternative Investments. 21:16-29
ISSN:	2168-8435 1520-3255
Popis:	Reliable excess returns from active portfolio management derive from informed trading. This article investigates the information content of informed trading in the equity market and the options market. The authors find that informed equity trading and options trading are positively correlated in the time series but virtually uncorrelated cross sectionally. Portfolio-level and stock-level analyses provide robust evidence that the cross-sectional return predictive power of informed trading in each market is distinct. Time-series analyses indicate that aggregate informed options trading is useful for predicting market returns but that the amount of informed trading has declined significantly in more recent years. The time-series patterns of both informed trading measures coincide closely with the decline in equity hedge fund excess returns.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::90a521ba5425857cdb8d1ed2ca141fba https://doi.org/10.3905/jai.2018.1.064 Zobrazit plný text záznamu