BAFI Academic Seminar | Weatherhead School at Case Western Reserve University

BAFI Academic Seminar

Informed Trading in the Stock Market and Option Price Discovery

When activist shareholders fi le Schedule 13D filings, the average excess return on target stocks is 6% and stock price volatility drops by about 10%. Prior to fi ling days, volatility (price) information is reflected in option (stock) prices. Using a comprehensive sample of trades by Schedule 13D fi lers which reveals on what days and in what markets they trade, we show that on days when activists accumulate shares, option implied volatility decreases, volatility skew increases, and option bid-ask spreads widen. The evidence is consistent with informed trading in the stock market contributing to the flow of volatility information into option prices.

Fee: [Yes/No/Varies]

Contact Information:
Tedda Nathan
Dept. Administrator
216-368-2040 [Phone]
216-368-6249 [Fax]

Friday, Feb. 2, 2018 from 10:30 a.m. to noon
Peter B. Lewis Building, Room 05
11119 Bellflower Road
Cleveland, OH 44106-7235
United States
Speaker(s): Vyacheslav Fos, Boston College
Sponsored by: Dept. of Banking & Finance WSOM
Fos paper


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