Showing 1 - 10 of 128
Option prices vary with not only the underlying asset price, but also volatilities and higher moments. In this paper, we use a portfolio of options to seclude the value change of the portfolio from the impact of volatility and higher moments. We apply this portfolio approach to the price...
Persistent link: https://www.econbiz.de/10012717328
Motivated by the growing literature on options as non-redundant assets, we investigate how option trading impacts underlying stock prices in the cross section controlling for stock market activities. We find both option trades and quotes are able to predict future stock price movement but stock...
Persistent link: https://www.econbiz.de/10013092017
After executing option orders, options market makers turn to the stock market to hedge away the underlying stock exposure. As a result, the stock exposure imbalance in option transactions translates into an imbalance in stock transactions. This paper decomposes the total stock order imbalance...
Persistent link: https://www.econbiz.de/10013078685
We propose that the volatility of order flow is a proxy for costs of information asymmetry, as order flow volatility varies positively with parameters that also influence adverse selection costs of trading. Empirically, order flow volatility is significantly higher prior to earnings or merger...
Persistent link: https://www.econbiz.de/10012973303
Option listing increases informed and uninformed trading by 12.4% and 23.9%, respectively, in the US between 2001 and 2010, hence reducing relative information risk. We establish the causal effects using control stocks with similar propensities of listing and a quasi-natural experiment using...
Persistent link: https://www.econbiz.de/10012973304
We explore the causal relationship between the legal doctrine of fiduciary duties and market price response in the setting of collectively selling subdivided residential real estates, the en bloc sales, in Singapore. We used a unique legal shock in 2009, the Ng Eng Ghee v. Mamata Kapildev Dave...
Persistent link: https://www.econbiz.de/10012933640
Government agencies routinely allow pre-release access to information to accredited news agencies under embargo agreements. Using high frequency data, we find evidence consistent with informed trading during embargoes of the Federal Open Market Committee's scheduled announcements. The E-mini S&P...
Persistent link: https://www.econbiz.de/10013033606
Underlying each stock trades hundreds of options at different strike prices and maturities. The order flow from these option transactions reveals important information about the underlying stock price movement and its volatility variation. How to aggregate the trade information of different...
Persistent link: https://www.econbiz.de/10013093687
Underlying each stock trades hundreds of options at different strike prices and maturities. The order flows from these option transactions reveal important information about the underlying stock price. How to aggregate the trade information of different option contracts underlying the same stock...
Persistent link: https://www.econbiz.de/10013093973
We study market-timing strategies on a given portfolio to achieve a particular risk or return target. Targeting a constant risk level leads to increasing investment at better investment opportunities whereas targeting a constant expected return does the opposite. Theoretical and numerical...
Persistent link: https://www.econbiz.de/10013250656