This paper examines the profitability of option-based merger arbitrage. A simple arbitrage strategy using stock options is designed to examine the merger arbitrage profitability from 1996 to 2008. This strategy takes long position on call options of target firms and put options of acquirer firms...

This paper documents the motivation, the construction, and the profitability of an investment strategy based on investor attention in the options market. Using the option volume after a one-week dormant period as a proxy for investor attention, we show that heightened investor attention after...

Using the comprehensive trading data for the U.S. corporate insiders between 1993 and 2008, we document robust evidence that insiders as a whole achieve transaction prices superior to the volume-weighted average prices. This outperformance, expressed as a positive trading alpha, remains after we...

Using a broad sample of merger announcements, I find unusual option volume right before these announcements, an abnormality which provides new information about the pre-merger stock price runup beyond what is incorporated in the stock market. I also find that there exists abnormal option pricing...