主题：Informed Trading in the Stock Market and Option Price Discovery（股票市场的知情交易和期权价格的探究）
主讲人：Vyacheslav Fos, 波士顿德州扑克大小
卡罗尔管理德州扑克大小
金融学副教授（终身教职）
日期：2018年7月6日（周五）
时间：上午10:00 - 11:30
地点：德州扑克大小
金融德州扑克大小
1号楼100教室
语言：英文
摘要：
When activist shareholders _le Schedule 13D _lings,
the average excess return on target stocks is 6% and stock price volatility
drops by about 10%. Prior to _ling days, volatility (price) information is
reected in option (stock) prices. Using a comprehensive sample of trades by
Schedule 13D _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.
主讲人简介:
Professor
Fos’s research interests are in the areas of financial markets, corporate
governance, and corporate finance. His research studies information
transmission in financial markets, insider trading,
boards of directors, the role of activist shareholders in corporate governance,
the role of stock liquidity in corporate governance, and investment and
employment consequences of share repurchases. His research has appeared in
leading academic journals, including the Econometrica, Journal of
Finance, Journal of Financial Economics, Review of Financial
Studies, and Management Science. Professor Fos’s teaching
interests focus on corporate finance. He has taught courses in corporate
finance at the undergraduate and graduate levels.
