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https://ah.lib.nccu.edu.tw/handle/140.119/112118
題名: | How does divergence of opinions affect the relative trading activity and information content in option and stock prior to takeover announcement? | 作者: | Huang, Han Ching Tung, P. S. |
貢獻者: | 財管系 | 關鍵詞: | Options/stock trading volume ratio (O/S); Divergence of opinions; Takeover | 日期: | May-2016 | 上傳時間: | 23-Aug-2017 | 摘要: | This paper examines whether the options/stock trading volume ratio (O/S) is higher when investors` opinions are more diverse with respect to the value of acquirer during pre-takeover announcement period and explores how divergence of opinions affects the predictive power of O/S on subsequent stock prices. We find that the coefficients of proxies for diversity of opinion are significantly positive, suggesting that more disagreements tend to have higher volumes of option trading relative to stock. Less predictive powers of O/S on subsequent stock returns are associated with larger divergence of opinion, implying that O/S contains less information about subsequent stock price movements when the divergence of opinions of acquirer firm is higher. | 關聯: | Quarterly Review of Economics and Finance, 60, 162-171 | 資料類型: | article | DOI: | http://dx.doi.org/10.1016/j.qref.2015.10.007 |
Appears in Collections: | 期刊論文 |
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