| dc.contributor | 財管系 | en_US |
| dc.creator (作者) | 湛可南 | zh_TW |
| dc.creator (作者) | Chan,Ko-nan ; Ge,Li ; Lin,Tse-Chun | en_US |
| dc.date (日期) | 2015-10 | en_US |
| dc.date.accessioned | 28-Jan-2014 11:47:18 (UTC+8) | - |
| dc.date.available | 28-Jan-2014 11:47:18 (UTC+8) | - |
| dc.date.issued (上傳時間) | 28-Jan-2014 11:47:18 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/63600 | - |
| dc.description.abstract (摘要) | 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. | en_US |
| dc.format.extent | 889322 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.language.iso | en_US | - |
| dc.relation (關聯) | Journal of Financial and Quantitative Analysis, Vol.50, No.5, pp.1057-1082 | en_US |
| dc.subject (關鍵詞) | Merger and Acquisition; Acquirer; Informed Trading; Implied Volatility Spread; Implied Volatility Skew | en_US |
| dc.title (題名) | Informational Content of Options Trading on Acquirer Announcement Return | en_US |
| dc.type (資料類型) | article | en |
| dc.identifier.doi (DOI) | 10.1017/S0022109015000484 | - |
| dc.doi.uri (DOI) | https://doi.org/10.1017/S0022109015000484 | - |
