JOURNAL OF FINANCIAL MARKET· VOL. 27, PAGES 79-101 · JANUARY 2016

公司股票回購公告前存在信息洩露現象嗎？——來自日度期權交易的證據

作者：(Grace) Qing Hao

摘要：本文第一次考察了在公告公司股票回購事件之前的股票期權交易行為。本文實證研究了1996-2012年間美國公司的2000餘個股票回購事件，發現在公告之前相關股票期權的平均隐含波動率差值會出現突然上升。進一步的，我還發現公告之前的股票期權隐含波動率差值與股票回購的公告效應帶來的收益率呈正相關關系。不同的回歸模型以及随機測試均表明以上結論的穩健性。綜上所述，由于信息洩露，期權市場的一些參與者知曉了即将到來的股票回購事件。

關鍵詞：期權市場，股票回購，隐含波動率差，信息洩露

Is there information leakage prior to share repurchase announcements? Evidence from daily options trading

(Grace) Qing Hao

ABSTRACT

This study is the first examination of daily stock options trading prior to corporate share repurchases announcements. Using a sample of over 2,000 share repurchase announcements in the United States during the 1996–2012 period, I find that the average volatility spreads become abnormally high immediately prior to repurchase announcements. Furthermore, the pre-announcement abnormal volatility spreads are positively associated with the repurchase announcement return. The results are robust to different regression specifications and randomization tests. Taken together, my findings suggest that some options market participants are informed about the upcoming repurchase announcements, facilitated by information leakage.

Keywords: Options market, Share repurchase, Volatility spread, Information leakage

原文鍊接：

http://www.sciencedirect.com/science/article/pii/S1386418115000683

翻譯：柳依依