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Testing the information-based trading hypothesis in the option market : evidence from share repurchases

Badshah, Ihsan Ullah; Koerniadi, Hardjo; Kolari, James W. - In: Journal of risk and financial management : JRFM 12 (2019) 4/179, pp. 1-11

The informed options trading hypothesis posits that option prices lead stock prices. In this paper, we extended the research on this hypothesis to open-market share repurchases. Empirical tests showed that the implied volatility spread was not significantly related to buy-and-hold abnormal stock...

Persistent link: https://www.econbiz.de/10012171287

Inter-sectoral analysis of announcement returns in share buyback decisions in India

Hyderabad, Raju L. - In: Metamorphosis : a journal of management research 7 (2008) 1, pp. 35-58

Persistent link: https://www.econbiz.de/10003773771

Volatility and the buyback anomaly

Evgeniou, Theodoros; Junqué de Fortuny, Enric; … - 2017 - Revised version of 2016/65/DSC/FIN

Persistent link: https://www.econbiz.de/10011695305

Volatility and the buyback anomaly

Evgeniou, Theodoros; Junqué de Fortuny, Enric; … - 2016 - Revised version of 2016/34/DSC/FIN

Persistent link: https://www.econbiz.de/10011667856

Volatility and the buyback anomaly

Evgeniou, Theodoros; Junqué de Fortuny, Enric; … - 2016 - Revised version of 2016/21/DSC/FIN

Persistent link: https://www.econbiz.de/10011589537

Signaling safety

Michaely, Roni; Rossi, Stefano; Weber, Michael - In: Journal of financial economics 139 (2021) 2, pp. 405-427

Persistent link: https://www.econbiz.de/10012693671

Is there information leakage prior to share repurchase announcements? : evidence from daily options trading

Hao, Grace Qing - In: Journal of financial markets 27 (2016), pp. 79-101

Persistent link: https://www.econbiz.de/10011722221

Stock price dynamics and the business cycle in an estimated DSGE model for South Africa

Paetz, Michael; Gupta, Rangan - 2014

Persistent link: https://www.econbiz.de/10010430711

Volatility in asset prices and long-run wealth effect estimates

Alexandre, Fernando; Baç~ao, Pedro; Gabriel, Vasco J. - In: Economic modelling 24 (2007) 6, pp. 1048-1064

Persistent link: https://www.econbiz.de/10003569086

Monetary policy and asset valuation : evidence from a Markov-switching cay

Bianchi, Francesco; Lettau, Martin; Ludvigson, Sydney C. - 2016

Persistent link: https://www.econbiz.de/10011540476

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