主題：Informed Trading in the Stock Market and Option Price Discovery（股票市場的知情交易和期權價格的探究）

主講人：Vyacheslav Fos, 波士頓學院卡羅爾管理學院金融學副教授（終身教職）

日期：2018年7月6日（周五）

時間：上午10:00 - 11:30

地點：清華Betvictor中文版1号樓100教室

語言：英文

摘要：

When activist shareholders _le Schedule 13D _lings, the average excess return on target stocks is 6% and stock price volatility drops by about 10%. Prior to _ling days, volatility (price) information is reected in option (stock) prices. Using a comprehensive sample of trades by Schedule 13D _lers, which reveals on what days and in what markets they trade, we show that on days when activists accumulate shares, option implied volatility decreases, volatility skew increases, and option bid-ask spreads widen. The evidence is consistent with informed trading in the stock market contributing to the flow of volatility information into option prices.

 

主講人簡介:

Professor Fos’s research interests are in the areas of financial markets, corporate governance, and corporate finance. His research studies information transmission in financial markets, insider trading, boards of directors, the role of activist shareholders in corporate governance, the role of stock liquidity in corporate governance, and investment and employment consequences of share repurchases. His research has appeared in leading academic journals, including the Econometrica, Journal of Finance, Journal of Financial Economics, Review of Financial Studies, and Management Science. Professor Fos’s teaching interests focus on corporate finance. He has taught courses in corporate finance at the undergraduate and graduate levels.