Striking up with the in crowd: When option markets and insiders agree

Gilstrap Collin; Petkevich Alex; Teterin Pavel

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Striking up with the in crowd: When option markets and insiders agree

机译：Striking up with the in crowd: When option markets and insiders agree

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摘要

We study whether the trading behavior of corporate insiders provides additional information to the market, after controlling for the public information integrated by sophisticated investors. First, we establish that insiders and option market participants trade in the same direction on average. Second, we show that insidertrading is relatively more informed when the option market sentiment is positive. The marginal information content of insider trades is higher for firms with higher levels of information asymmetry and during time periods when future economic conditions are less certain. (c) 2020 Elsevier B.V. All rights reserved.

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来源
《Journal of banking & finance》 |2020年第11期|105963.1-105963.22|共22页
作者
Gilstrap Collin; Petkevich Alex; Teterin Pavel;
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作者单位

Univ Toledo Coll Business & Innovat John B & Lillian E Neff Dept Finance Toledo OH 43606 USA;

Univ Toledo Coll Business & Innovat John B & Lillian E Neff Dept Finance Toledo OH 43606 USA;

Univ Toledo Coll Business & Innovat John B & Lillian E Neff Dept Finance Toledo OH 43606 USA;

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原文格式 PDF
正文语种 eng
中图分类
关键词
Insiders; Volatility spread; Predictability;

机译：内部人员;波动率传播;可预测性;

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1. Insider trading, stock return volatility, and the option market's pricing of the information content of insider trading [J] . Chiang Chin-Han, Chung Sung Gon, Louis Henock Journal of banking & finance . 2017,第MARa期

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2. Backward stochastic differential equations with enlarged filtration: Option hedging of an insider trader in a financial market with jumps [J] . Eyraud-Loisel A Stochastic Processes and Their Applications: An Official Journal of the Bernoulli Society for Mathematical Statistics and Probability . 2005,第11期

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3. U.S., Canada Agree To Market Share Approach On Lumber; Options Possible [J] . Jutta Hennig Inside U.S. Trade . 2016,第26期

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4. Early Detection of Insider Trading in Option Markets [C] . Steve Donoho Association for Computing Machinery(ACM) Special Interest Group on Knowledge Discovery and Data Mining(SIGKDD) International Conference on Knowledge Discovery and Data Mining; 20040822-20040825; Seattle,WA; US . 2004

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5. Two essays on insider trading: Empirical examinations of long-run insider returns and insiders' options exercise behavior. [D] . Simpson, Thuy H. 2013

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7. Early detection of insider trading in option markets [O] . Steve Donoho 2015

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Striking up with the in crowd: When option markets and insiders agree

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