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dc.contributor.authorMazouz, Khelifa*
dc.contributor.authorWu, Yuliang*
dc.contributor.authorYin, S.*
dc.date.accessioned2016-10-06T15:30:17Z
dc.date.available2016-10-06T15:30:17Z
dc.date.issued2015-12
dc.identifier.citationMazouz K, Wu Y and Yin S (2015) Trading activity in options and stock around price-sensitive announcements. Journal of Futures Markets. 35(12): 1173-1194.en_US
dc.identifier.urihttp://hdl.handle.net/10454/9534
dc.descriptionYesen_US
dc.description.abstractThis study investigates the trading activity in options and stock markets around informed events with extreme daily stock price movements. We find that informed agents are more likely to trade options prior to negative news and stocks ahead of positive news. We also show that optioned stocks overreact to the arrival of negative news, but react efficiently to positive news. However, the overreaction patterns are unique to the subsample of stocks with the lowest pre‐event abnormal option/stock volume ratio (O/S). This finding suggests that the incremental benefit of option listing is related to the level of option trading activity, over and beyond the presence of an options market on the firm’s stock. Finally, we find that the pre‐event abnormal O/S is a better predictor of stock price patterns following a negative shock than is the pre‐event O/S, implying that the former may contain more information about the future value of stocks than the latter.en_US
dc.language.isoenen_US
dc.relation.isreferencedbyhttp://dx.doi.org/10.1002/fut.21691en_US
dc.subjectOptions; Announcementsen_US
dc.titleTrading activity in options and stock around price-sensitive announcementsen_US
dc.status.refereedYesen_US
dc.date.Accepted2014-07-05
dc.date.application2014-08-29
dc.typeArticleen_US
dc.type.versionAccepted manuscripten_US
refterms.dateFOA2018-07-25T14:10:45Z


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