This paper documents the motivation, the construction, and the profitability of an investment strategy based on investor attention in the options market. Using the option volume after a one-week dormant period as a proxy for investor attention, we show that heightened investor attention after...

Using a broad sample of merger announcements, I find unusual option volume right before these announcements, an abnormality which provides new information about the pre-merger stock price runup beyond what is incorporated in the stock market. I also find that there exists abnormal option pricing...

This paper investigates insider trading before scheduled versus unscheduled corporate announcements to explore how corporate insiders utilize their private information when the amount of liquidity trading is varying over time in a predictable way. Using a comprehensive insider trading database...

Using a broad sample of merger announcements, I find unusual option volume right before these announcements. The abnormal option volume provides new information about the pre-merger stock price runup beyond what is incorporated in the stock market. I also find that there exists abnormal option...

This paper documents the level of portfolio manager ownership in the funds they manage and examines whether higher ownership is associated with improved future performance. Almost half of all managers have ownership stakes in their funds, though the absolute investment is modest. Future...

We study mutual fund mergers between 1999 and 2001 to understand the role and effectiveness of fund boards. Some fund mergers - typically across-family fund mergers - benefit target shareholders but are costly to target fund directors. We examine whether certain governance structures relate to...

This dissertation investigates insider trading around significant corporate information events. Chapter 1 tests the prediction of standard option pricing models that there is no relation between past stock returns and stock option prices. Using individual stock options data, we show that puts...

The superhydrophobic photocatalytic self-cleaning coating has both physical and chemical self-cleaning properties, which has attracted wide attention of researchers in recent years. In this paper, ZnS superhydrophobic coating was prepared on the surface of zinc substrate by economic and...

Using a broad sample of earnings announcements, we find that option call and put implied volatilities become increasingly misaligned as the earnings announcement dates (EAD) get closer. The percentage deviation between call and put implied volatilities increases monotonically in the one-month...