主题： Chasing Private Information（追寻非公开信息）
主讲人：Marcin Kacperczyk，伦敦帝国理工德州扑克大小
商德州扑克大小
金融学教授
日期：2016年5月11日（周三）
时间：下午2:30-4:00
地点：德州扑克大小
金融德州扑克大小
4号楼101教室
语言：英文
摘要：
Using a novel sample of 3,586 equity and option trades based on material
and nonpublic information, we examine whether asset prices and trading volume
reveal to markets information about the presence of informed trading. We find
that information embedded in equity (option) markets offers a generally weaker
(stronger) signal of private information. The most robust metrics combine both
option and stock volume, especially those using leveraged and short-term options.
Further, we show that the patterns showing how information is revealed to
markets do not depend on whether informed traders strategically delay their
trades upon receiving information about the firm. Finally, we document
significant information spillovers from equity to option markets, but not vice
versa. Overall, our results provide new guidance in the search for private
information.
主讲人简介:
Marcin Kacperczyk holds
the Professor of Finance at the Business School of Imperial College London. He
is also a Research Associate at the Centre for Economic Policy Research. Previously,
Professor Kacperczyk spent six years in the National Bureau of Economic
Research, Cambridge MA as a Faculty Research Fellow. He received a Ph.D. in Finance
from the University of Michigan in 2004. Professor Kacperczyk’s research
interests include the investments, mutual funds, empirical asset pricing,
behavioral finance, information economics and so on. He has articles published
in the Quantitative Finance, the
Quarterly Journal of Economics, the Journal of Finance, the Journal of
Financial Economics, the Review of Financial Studies, and the Review of Finance among others. Professor
Kacperczyk is also an associate editor of the Review of Financial Studies and Review
of Finance.
