Do derivatives on the underlying stock reveal information of corporate policy? The examination of stock repurchase announcement

• Main Authors: Lin, Pei-Wen, 林姵彣
• Other Authors: Hsieh, Pei-Fang
• Format: Others
• Language: en_US
• Published: 2013
• Online Access: http://ndltd.ncl.edu.tw/handle/2vjn82

碩士 === 國立清華大學 === 計量財務金融學系 === 101 === We investigate the informational efficiency of trading in warranted/optioned stocks in the context of stock repurchase announcements. We choose the stock repurchase announcements that are usually associated with positive abnormal returns. Our event study and cross-sectional analysis result show that there are no significant differences between the abnormal returns from warranted/optioned and non-warranted/optioned stocks for our 446 stock repurchase events. Nevertheless, we introduce a new information variable estimated by warrant implied realized volatility versus stock realized volatility for overall investigation of the relative information between underlying and derivative market. Our study provides the significant predictive power of that information variable.