Striking Up With the In Crowd: When Option Markets and Insiders Agree

63 Pages Posted: 20 Sep 2021 Last revised: 7 Oct 2021

See all articles by Collin Gilstrap

Collin Gilstrap

University of Toledo

Alex Petkevich

University of Denver

Pavel Teterin

University of Toledo

Date Written: September 15, 2021

Abstract

We study whether the trading behavior of corporate insiders provides additional in- formation to the market, after controlling for the public information integrated by sophisticated investors. First, we establish that insiders and option market participants trade in the same direction on average. Second, we show that insider trading is relatively more informed when the option market sentiment is positive. The marginal information content of insider trades is higher for firms with higher levels of information asymmetry and during time periods when future economic conditions are less certain.

Keywords: Insiders, Volatility Spread, Predictability

JEL Classification: G11,G12,G14

Suggested Citation

Gilstrap, Collin and Petkevich, Alex and Teterin, Pavel, Striking Up With the In Crowd: When Option Markets and Insiders Agree (September 15, 2021). Journal of Banking and Finance, Vol. 120, No. 105963, 2020, Available at SSRN: https://ssrn.com/abstract=3924424

Collin Gilstrap (Contact Author)

University of Toledo ( email )

Toledo, OH 43606
United States

Alex Petkevich

University of Denver ( email )

2101 S. University Blvd.
Denver, CO 80208-8921
United States

HOME PAGE: http://https://sites.google.com/view/alexpetkevich/home

Pavel Teterin

University of Toledo ( email )

2801 W. Bancroft St.
Mail Stop 103
Toledo, OH 43606
United States

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
28
Abstract Views
219
PlumX Metrics