Informed options strategies before corporate events
نویسندگان
چکیده
We analyze how informed investors trade in the options market ahead of corporate news when they receive private, but noisy, information about timing and impact these announcements on stock prices. propose a framework that ranks trading strategies (option type, maturity, strike price) based their maximum attainable leverage price-taking face frictions. exploit heterogeneity announcement characteristics across twelve categories events to support event-specific signals are informative for returns optimal choice option moneyness tenor.
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ژورنال
عنوان ژورنال: Journal of Financial Markets
سال: 2023
ISSN: ['1386-4181', '1878-576X']
DOI: https://doi.org/10.1016/j.finmar.2022.100766