Informational Content of Option Volume Prior to Takeovers

By Charles Cao, Zhiwu Chen, John M. Griffin. 2005

436 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/64a35a45f4e820c7838ce771a80fe72eb284659f

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Citations in the corpus

The Joint Cross Section of Stocks and Options (2013, methodology): “We introduce several measures of option volatility innovations ranging from simple first differences to time-series and cross-sectional estimates in Section 2.3.”
Volatility Information Trading in the Option Market (2008, background): “…has been examined in some detail [Stefan and Whaley (1990), Amin and Lee (1997), Easley, O’Hara, and Srinivas (1998), Chan, Chung, and 1 Fong (2002), Cao, Chen, and Griffin (2005), and Pan and Poteshman (2005)],1 little is known about whether option volume is informative for the future volatility…”
What Does the Individual Option Volatility Smirk Tell Us About Future Equity Returns? (2010, background): “C, we examine time-series behavior of volatility skew, and whether predictability lasts beyond one week.”
The Information of Option Volume for Future Stock Prices (2004, positive): “At a daily frequency, Cao, Chen, and Griffin (2003) find that during “normal” times, stock volume but not option volume is informative about future stock returns.”
Does Option Trading Convey Stock Price Information (2014, background): “Cao, Chen, and Griffin (2005) examine order flow information around mergers and acquisitions.”
Model Uncertainty and Option Markets with Heterogeneous Beliefs (2006, background): “…asset, Amin and Lee (1997) show that good (bad) earnings news is positively correlated with a pre-announcement increase in call (put) open interest, Cao, Chen, and Griffin (2005) show that the option volume in the pre-announcement period predicts takeover premia, and moreover Easley, O’Hara, and…”
Cross-Section of Option Returns and Idiosyncratic Stock Volatility (2013, neutral): “22 For evidence of informed trading in options, see, e.g., Cao, Chen, and Griffin (2005) and Pan and Poteshman (2006).”
Stealth Trading in Options Markets (2007, background): “…the lead-lag relation between the stock and options prices (see, for example, Manaster and Rendleman (1982), Stephan and Whaley (1990), Vijh (1990), Chan, Chung, and Johnson (1993), Chan, Chung, and Fong (2002), Cao, Chen, and Griffin (2005), Schlag and Stoll (2002), and Finucane (1999)).”