BAFI Department Seminar

Pre-Trade Hedging

Pre-trade hedging is controversial. We document significant price impacts of pre-trade hedging trades prior to issuances of Structured Equity Products (SEPs). The prices of the SEPs’ underlying stocks increase, on average, by 100 basis points on the pricing dates, with most of the price impact being reversed on the next day. More than half of the average increase in the stock prices takes place during the last 30 minutes on the pricing dates. Using a proxy for manipulative trades employed in the prior literature, we also provide evidence suggesting that at least part of the pre-trade hedging is manipulative.  This paper is co-authored with Brian J. Henderson, George Washington Univ, and Neil D. Pearson, University of Illinois at Urbana-Champaign.


Fee: [Yes/No/Varies]

Contact Information:
Tedda Nathan
Dept. Administrator, 
txn2@case.edu
216-368-2040 (tel)

216-368-6249 (fax)

Friday, May 5, 2017 from 10:30 a.m. to noon
Peter B. Lewis Building, Room 418
11119 Bellflower Road
Cleveland, OH 44106-7235
United States
Speaker(s): Li Wang
Sponsored by: Department of Banking & Finance
Li Wang paper

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