Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/262360 
Erscheinungsjahr: 
2022
Schriftenreihe/Nr.: 
LawFin Working Paper No. 39
Verlag: 
Goethe University, Center for Advanced Studies on the Foundations of Law and Finance (LawFin), Frankfurt a. M.
Zusammenfassung: 
We analyze how informed investors trade in the options market ahead of corporate news when they receive private, but noisy, information about the timing and impact of these announcements on stock prices. We propose a framework that ranks options trading strategies (option type, maturity, and strike price) based on their maximum attainable leverage when price-taking investors face market frictions. We exploit the heterogeneity in announcement characteristics across twelve categories of corporate events to support that event-specific information signals are informative for announcement returns and that they impact the optimal choice of option moneyness and tenor.
Schlagwörter: 
corporate announcements
derivatives
event studies
insider trading
market microstructure
JEL: 
G12
G13
G14
K42
Dokumentart: 
Working Paper

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Datei
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