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万博体育登录_新万博体育-中国体彩网官网推荐学副教授（终身教职）

日期：2018年7月6日（周五）

时间：上午10:00 - 11:30

地点：清华五道口万博体育登录_新万博体育-中国体彩网官网推荐学院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 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.