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option trading price discovery and earnings news dissemination

The authors thank Charles Jones for providing research assistance. James Myers, John O'Brien, Paul Seguin, Doug Skinner, Amy Sweeney, Robert Whaley, two anonymous referees, and workshop participants at Laval University, Massachusetts Institute of Technology, the University of Michigan, University of Southern California, Vanderbuilt University, and the University of Waterloo all provided helpful comments.

Option Trading, Price Discovery, and Earnings News Dissemination by Kaushik I. Amin, Charles M.C. Lee :: SSRN

Lee is grateful for financial support from the KPMG Peat Marwick Foundation and the University of Michigan Sanford R.

Option market activity increases by more than 10 percent in the four days before quarterly earnings announcements. We show that the direction of this preannouncement trading foreshadows subsequent earnings news.

Midquote returns to active-side option trades are positive during nonannouncement buy otc stocks ameritrade and are significantly higher immediately prior to earnings announcements.

option trading price discovery and earnings news dissemination

Bid-ask spreads for options widen during the announcement period, but traders do not gravitate toward high delta contracts. Collectively, the evidence shows option traders participate generally in price discovery the incorporation of private information in priceand more specifically in the dissemination of earnings news.

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Option Trading, Price Discovery, and Earnings News Dissemination - AMIN - - Contemporary Accounting Research - Wiley Online Library

By continuing to browse this site you agree to us using cookies as described in About Cookies Remove maintenance message. Go to old article view Advertisement. Use option trading price discovery and earnings news dissemination Comparisons of Patterns of Stock Return and Accounting Data in Understanding Apparently Anomalous Returns to Accounting-based Trading Strategies Previous article in issue: Use of Comparisons of Patterns of Stock Return and Accounting Data in Understanding Apparently Anomalous Returns option trading price discovery and earnings news dissemination Accounting-based Trading Strategies Next article in issue: AMIN, Vice President Lehman Brothers Search for more papers by this author.

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Option Trading and Earnings News Dissemination by Charles M.C. Lee, Kaushik I. Amin :: SSRN

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