Essays On Stock Options
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Essays On Stock Options
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Author : Iskra Kalodera
language : en
Publisher: Tectum - Der Wissenschaftsverlag
Release Date : 2011-07
Essays On Stock Options written by Iskra Kalodera and has been published by Tectum - Der Wissenschaftsverlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-07 with categories.
This book focuses exclusively on stock options, analyzing their pricing, liquidity, and information transmission empirically. With the help of discrete choice modeling and regression analysis, it offers new insights into the behavior of stock option liquidity as well as the influence of overall market liquidity on option prices. Many observed phenomena find explanation through the market microstructure. The book also provides the most comprehensive analysis of equity options for the German market so far and serves as a guide to up-to-date empirical topics for both researchers and practitioners.
The Trading Efficiency On Options Market
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Author : Yan Feng
language : en
Publisher:
Release Date : 2013
The Trading Efficiency On Options Market written by Yan Feng and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
F. Black (1975) in his seminal paper "Fact and Fantasy in the use of options" mentioned a number of fantasies that widely spread in the options markets. Since Black's (1975) paper was published, there were significant changes and innovations in the options markets. The purpose of this paper is to address some of the pricing and trading aspects in the options markets.
Essays On Stock Options Expensing And Stock Options Backdating
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Author : Wei Chern Koh
language : en
Publisher: ProQuest
Release Date : 2000
Essays On Stock Options Expensing And Stock Options Backdating written by Wei Chern Koh and has been published by ProQuest this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with categories.
Essays On Employee Stock Options
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Author : Ge Zhang
language : en
Publisher:
Release Date : 2003
Essays On Employee Stock Options written by Ge Zhang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with Employee stock options categories.
Two Essays On Employee Stock Options
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Author : Swaminathan Kalpathy
language : en
Publisher:
Release Date : 2005
Two Essays On Employee Stock Options written by Swaminathan Kalpathy and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with Employee stock options categories.
Essays On Stock Options Incentives And Managerial Action
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Author : Daniel Pasternack
language : en
Publisher:
Release Date : 2002
Essays On Stock Options Incentives And Managerial Action written by Daniel Pasternack and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with categories.
Essays On Stock Option Schemes And Ceo Compensation
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Author : Mikko Mäkinen
language : en
Publisher:
Release Date : 2007
Essays On Stock Option Schemes And Ceo Compensation written by Mikko Mäkinen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with categories.
Tiivistelmä.
Essays On Single Stock Futures And Options Markets
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Author : Cuyler Lawrence Strong
language : en
Publisher:
Release Date : 2020
Essays On Single Stock Futures And Options Markets written by Cuyler Lawrence Strong and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020 with Options (Finance) categories.
These two essays demonstrate the important role that derivative markets play in assimilating information into financial markets. In the first essay I use the 2008 short-selling ban to examine the impact of single-stock futures (SSFs) trading on options market quality. I show that there is a substitution effect between options trading and SSFs trading during the ban period. In addition, my results show that SSFs trading had a significant effect in narrowing the bid-ask spreads of options contracts. Moreover, compared to stocks without SSFs, stocks with SSFs were less likely to violate put-call parity during the ban period. My results suggest that SSFs trading helps mitigate the negative effect of the short-selling ban on options market quality documented in the literature.In the second essay I look at information flows through large option trades. The motivation comes from CNBC's "Halftime Report" which regularly covers unusual option activity, i.e., those abnormally large trades, and recommend investors to follow the "smart money". I investigate the impact of the CNBC coverage on underlying stock prices and whether investors can indeed profit by following the "smart money". I document an immediate spike in trading volume and abnormal returns at the time of the CNBC coverage, and evidence that the unusual option trades are informative of stock prices around the coverage. However, I also document a significant reversal in underlying stock prices following the CNBC coverage. Using the same criteria advocated by the CNBC commentators, I identify unusual option activities for a large sample of stocks without CNBC coverage. I confirm that the unusual option trades significantly predict underlying stock returns, but find no evidence of reversal in underlying stock prices. My findings suggest that the CNBC coverage of unusual option activity has a destabilizing effect on underlying stock prices and investors cannot profit by simply following the CNBC reporting on the "smart money".
Essays On Stock Option Compensation And The Role Of Incentives And Risk
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Author : Matts Rosenberg
language : en
Publisher:
Release Date : 2004
Essays On Stock Option Compensation And The Role Of Incentives And Risk written by Matts Rosenberg and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with categories.
Three Essays On The Information Content Of Stock Options
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Author : Zekun Wu
language : en
Publisher:
Release Date : 2021
Three Essays On The Information Content Of Stock Options written by Zekun Wu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021 with categories.
This dissertation consists of three essays that explore the information content embedded in equity options. The results improve our understanding of the cross-section of option returns, informed trading in the options market, and the industry effect of IPOs. In the first essay, we study the relation between option-implied skewness (IS) and the crosssection of option returns under daily hedging to better understand skewness pricing in isolation from lower moments. Creating portfolios of delta-hedged (D-hedged) and delta-vega-hedged (DV-hedged) options with daily rebalancing, we find that IS is negatively (positively) related to call (put) option returns, but the relation to put options is statistically significant only during economic recessions. The relation is more substantial when the underlying stock has a larger market beta and when the firm has more severe information opacity. Our results suggest that investors' skewness preference grows stronger with greater market risk and lower information quality. In the second essay, we examined the informed trading in the options market before FDA drug advisory committee meetings. We find significant abnormal options trading volume before both meeting dates and report creation dates, particularly for small drug firms. Abnormal volume significantly predicts post-meeting stock returns. Informed traders prefer out-of-the-money options and choose maturities to cover the dates when reports are publicly released. They prefer to sell options close to the meeting date, perhaps to capture returns from both expected stock price changes and the sharp drop in implied volatility post-meeting. In the third essay, I investigate the effect of initial public offerings (IPOs) on industry competitors' options market. I find that rival firms' put (call) options volume increases (decreases) around IPOs, leading to price pressure on call options relative to put options as measured by the implied volatility spread. Rival firms' reaction in the options market also predicts the IPO firms' post-IPO stock performance. Lastly, rival firms with strong operating income experience less negative impact in the options market, suggesting competitive operation performance help stabilize rival firms' options market around IPOs.