This paper examines the relationship between stock and option markets around SEO events. We compare option-implied volatility and realized volatility to show that option markets do not fully predict risk dynamics following equity issues. Moreover, we show that straddle strategies that explore...

Using a sample of 18,225 global buyouts, we find that management buyouts (MBOs) are significantly more likely to occur if economic policy uncertainty (EPU) increases. This finding is consistent with the idea that EPU provides an opportunity for insiders to capitalize on private information and...

In this paper, we develop a state-dependent sensitivity value-at-risk (SDSVaR) approach that enables us to quantify the direction, size, and duration of risk spillovers among financial institutions as a function of the state of financial markets (tranquil, normal, and volatile). Within a system...