Turmoil and uncertainty confront firms when they are named as defendants in class action lawsuits. In this article, we consider whether option markets interpret the implications of these dramatic corporate events for mid-to-long term performance. In particular, we consider relatively simple,...

We investigate whether a simple long-short weekly trading strategy based on mispricing among ETNs generates profits in excess of the S&P 500 over the sample period of June 6, 2006 to January 30, 2012. Ignoring transaction costs, liquidity, and short selling constraints we find the following. (1)...

The prices of ETNs often significantly exceed their indicative values. Since ETNs share many features in common with zero-coupon bonds, this empirical finding is unexpected. (Adopting the language of Wright, Diavatopoulos, and Felton (2010), we refer to this as the negative WDFD puzzle.) Using a...