This study systematically examines the ability of aggregate insider trading to predict future market returns in the Chinese A-share market. After controlling for the contrarian investment strategy, aggregate executive (large shareholder) trading conducted over the past six months can predict 66%...

This study examines the effects of China’s 2008 trading ban regulation on the insider trading of large shareholders in China’s A-share market. It finds no evidence of insider trading during the ban period (one month before the announcement of a financial report), due to high regulation risk....

It is well documented that IPO stock prices decline without reversals around lockup expirations, creating a novel setting to examine the impact of option trading on stock price efficiency. I find that optionable IPO stocks' prices experience significant declines prior to lockup expirations,...

As an asset is traded, its varying prices trace out an interesting time series. The price, at least in a general way, reflects some underlying value of the asset. For most basic assets, realistic models of value must involve many variables relating not only to the individual asset, but also to...

The volatility implied by observed market prices as a function of the strike and time to maturity form an Implied Volatility Surface (IVS). Practical applications require reducing the dimension and characterize its dynamics through a small number of factors. Such dimension reduction is...