INFORMED OPTIONS TRADING BEFORE AUDITOR CHANGE ANNOUNCEMENTS

被引：4
|
作者：
Zhang, Jun [1 ]
机构：
[1] Oklahoma State Univ, Stillwater, OK 74078 USA
来源：
JOURNAL OF FINANCIAL RESEARCH | 2018年 / 41卷 / 02期
关键词：
INFORMATIONAL CONTENT; MARKET REACTION; STOCK; RESIGNATIONS; DISMISSALS; TRADERS; PRICES; VOLUME;
D O I：
10.1111/jfir.12147
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
In this article I examine the information content of options trading before auditor change announcements. Preannouncement abnormal implied volatility (IV) skew is negatively and significantly related to cumulative abnormal returns around auditor change announcements. The predictive power of abnormal IV skew is stronger for announcements of negative auditor changes and when the options market is more liquid, and is weaker when information has already been incorporated in the stock market. The results are robust to a placebo test and an alternative measure of informed options trading. Overall results suggest that informed options trading predicts auditor change announcement returns.
引用
收藏
页码：213 / 236
页数：24
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