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...

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...

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 analyses the characteristics and functioning of real estate markets. It focuses on the relationship between developments in these markets and the financial sector to determine under what circumstances real estate booms and busts can develop and how they can affect the health and...

In a marketplace of repeated transactions with asymmetric information, theory predicts that sellers with a good reputation have a higher probability of sale and receive a higher transaction price. In this article, I test this theory using more than 55,000 auctions of quot;Gmail invitationsquot;...

This paper provides some rational perspective for the flight-to-liquidity event. My model highlights the inherent difference in investors' investment horizon, and thus their sensitivity to changes in transaction costs in the stock and bond markets. When stock market deterioration results in...

We develop a framework to investigate time-varying informed and uninformed trading activities and the relationship between them. Informed traders may match the level of the uninformed arrival rate with certain probability so as to make better use of the camouflage provided by the uninformed...