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【学术预告】波士顿学院卡罗尔管理学院金融学副教授(终身教职)Vyacheslav Fos将到访我院举办学术研讨会:股票市场的知情交易和期权价格的探究

时间:2018-07-06 来源: 作者: 浏览: 字号: 打印

主题:Informed Trading in the Stock Market and Option Price Discovery(股票市场的知情交易和期权价格的探究

主讲人:Vyacheslav Fos, 波士顿学院卡罗尔管理学院金融学副教授(终身教职)

日期:201876日(周五)

时间:上午10:00 - 11:30

地点清华五道口金融学院1号楼100教室

语言: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.

 

主讲人简介:

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 FinanceJournal 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.

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