Using data on a sample of NYSE stocks and their respective options contract, we examine how option-implied volatility influences liquidity provision on the equities market. Our findings suggest that in the 30-day leading up to an earnings release, implied volatility is negatively associated with...

Recent research has raised concerns over whether the probability of informed trading model (PIN) is an appropriate proxy of information asymmetry. We investigate PIN and test whether the model can detect illegal insider trading prior to M&A announcements. We then compare the performance of PIN...