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    政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 >  Item 140.119/63600
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/63600

    Title: Informational Content of Options Trading on Acquirer Announcement Return
    Authors: 湛可南
    Contributors: 財管系
    Keywords: Merger and Acquisition;Acquirer;Informed Trading;Implied Volatility Spread;Implied Volatility Skew
    Date: 2014-02
    Issue Date: 2014-01-28 11:47:18 (UTC+8)
    Abstract: This study examines the informational content of options trading on acquirer announcement returns. We show that implied volatility spread predicts positively on the cumulative abnormal return (CAR), and implied volatility skew predicts negatively on the CAR. The predictability is much stronger around actual merger and acquisition (M&A) announcement days, compared with pseudo-event days. The prediction is weaker if pre-M&A stock price has incorporated part of the information, but stronger if acquirer’s options trading is more liquid. Finally, we find that higher relative trading volume of options to stock predicts higher absolute CARs. The relation also exists among the target firms.
    Relation: Journal of Financial and Quantitative Analysis
    Data Type: article
    Appears in Collections:[財務管理學系] 期刊論文

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