Informational Content of the Relative Trading Activity in Options and Stock on Repurchase Announcement Return
碩士 === 國立中央大學 === 財務金融學系 === 105 === By using share repurchase announcement data from Thomson Financial Securities Company’s database merged with CRSP database and OptionMetrics database during 1996-2014, this thesis examines abnormal trading activities with repurchase announcement date and then inv...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2017
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/22fbbr |
| Summary: | 碩士 === 國立中央大學 === 財務金融學系 === 105 === By using share repurchase announcement data from Thomson Financial Securities Company’s database merged with CRSP database and OptionMetrics database during 1996-2014, this thesis examines abnormal trading activities with repurchase announcement date and then investigates the relationships between cumulative abnormal returns and option to stock volume ratio around share repurchase day. The results correspond to informed option trading hypothesis. In addition, we also investigate whether pre-event returns and option trading cost affect the informed option trading activities or not. This thesis goes further to examine the relationship between the cumulative abnormal return and the interaction of options to stock volume ratio and pre-announcement cumulative abnormal return as well as the relationship between the cumulative abnormal return and interaction of option to stock volume ratio and average option bid-ask spread. The results show that both pre-event returns and option trading cost affect predictability of option trading measure. A test comparing the option trading activity on the announcement date to the regular day is also conducted. The final results show that the option trading measure apparently has a stronger predictability comparing to the regular days.
|
|---|