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Detecting Informed Trading Activities in the Options Markets: Appendix on Subprime Financial CrisisMarc ChesneyUniversity of Zurich - Swiss Banking Institute (ISB); Swiss Finance Institute Remo CrameriUniversity of Zurich - Swiss Banking Institute (ISB) Loriano ManciniEcole Polytechnique Fédérale de Lausanne; Swiss Finance Institute July 3, 2012 Swiss Finance Institute Research Paper No. 11-38 Abstract: This appendix extends the empirical results in Chesney, Crameri, and Mancini (2012). As an example informed trading activities on put and call options are analyzed for 19 companies in the banking and insurance sectors from January 1996 to September 2009. Our empirical findings suggest that certain events such as the takeovers of AIG and Fannie Mae/Freddie Mac, the collapse of Bear Stearns Corporation and public announcements of large losses/writedowns are preceded by informed trading activities in put and call options. The realized gains amount to several hundreds of millions of dollars. Several cases are discussed in detail.
Number of Pages in PDF File: 59 Keywords: options trades, open interest, informed trading, false discovery rate JEL Classification: G12, G13, G14, G17, G34, C61, C65 working papers seriesDate posted: September 22, 2011 ; Last revised: July 4, 2012Suggested CitationContact Information
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