Anmerkungen:
In: Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 2, 2013 erstellt
Beschreibung:
This study examines the informational content of options trading on acquirer announcement returns. We show that implied volatility spread predicts positively on the cumulative abnormal return (CAR), and implied volatility skew predicts negatively on the CAR. The predictability is much stronger around actual merger and acquisition (M&A) announcement days, compared with pseudo-event days. The prediction is weaker if pre-M&A stock price has incorporated part of the information, but stronger if acquirer's options trading is more liquid. Finally, we find that higher relative trading volume of options to stock predicts higher absolute CARs. The relation also exists among the target firms