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Detecting informed trading activities in the options markets : appendix on subprime financial crisis

Marc Chesney; Remo Crameri; Loriano Mancini

This appendix extends the empirical results in Chesney, Crameri, and Mancini (2011). Informed trading activities on put and call options are analyzed for 19 companies in the banking and insurance sectors from January 1996 to September 2009. Our empirical findings suggest that certain events such as... Full description

Year of Publication: 2011
Authors: Chesney, Marc; Crameri, Remo; Mancini, Loriano
Publisher: Genève : Swiss Finance Inst.
Physical Description: Online-Ressource (PDF-Datei: 44 S.)
graph. Darst.
Series: Research paper series / Swiss Finance Institute ; 11,38
Language: English
Subjects: Optionsgeschäft | Option trading | Anlageverhalten | Behavioural finance | Informationsverhalten | Information behaviour | Spekulation | Speculation | Mathematische Optimierung | Mathematical programming | Statistische Methode | Statistical method | USA | United States | 1996-2009
Classification: jel-G12; jel-G13; jel-G14; jel-G17; jel-G34; jel-C61; jel-C65
Genres: Arbeitspapier
Working Paper
Graue Literatur
Non-commercial literature
Type of Publication: Book / Working Paper
Notes: Systemvoraussetzungen: Acrobat Reader
Title record from database: ECONIS - Online Catalogue of the ZBW
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Summary: This appendix extends the empirical results in Chesney, Crameri, and Mancini (2011). Informed trading activities on put and call options are analyzed for 19 companies in the banking and insurance sectors from January 1996 to September 2009. Our empirical findings suggest that certain events such as the takeovers of AIG and Fannie Mae/Freddie Mac, the collapse of Bear Stearns Corporation and public announcements of large losses/writedowns are preceded by informed trading activities in put and call options. The realized gains amount to several hundreds of millions of dollars. Several cases are discussed in detail. options trades, open interest, informed trading, false discovery rate
Item Description: Systemvoraussetzungen: Acrobat Reader
Physical Description: Online-Ressource (PDF-Datei: 44 S.)
graph. Darst.

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