Net Buying Pressure and Informed Trading in the Options Market: Evidence From Earnings Announcements

Simple item page
aut.relation.articlenumber53en_NZ
aut.relation.issue2en_NZ
aut.relation.journalJournal of Risk and Financial Managementen_NZ
aut.relation.volume15en_NZ
aut.researcherKoerniadi, Hardjo
dc.contributor.authorBadshah, Ien_NZ
dc.contributor.authorKoerniadi, Hen_NZ
dc.date.accessioned2022-05-26T22:16:14Z
dc.date.available2022-05-26T22:16:14Z
dc.date.copyright2022en_NZ
dc.date.issued2022en_NZ
dc.description.abstractBy employing the modified net buying pressure as a measure of informed option trading, this study tested whether option trading around quarterly earnings announcements is either directionally motivated and/or volatility motivated. We found evidence that is consistent with the idea that option investors have private information prior to positive earnings announcements and use at-the-money options to exploit their informational advantage. In the post-event period, however, informed option investors trade by using deep-out-of-the-money and out-of-the-money options. We documented limited evidence on the volatility-motivated option trading, and our results suggest that this type of option trading could be motivated by hedging purposes only.
dc.identifier.citationJournal of Risk and Financial Management, 15(2), 53. https://doi.org/10.3390/jrfm15020053
dc.identifier.doi10.3390/jrfm15020053en_NZ
dc.identifier.issn1911-8066en_NZ
dc.identifier.urihttps://hdl.handle.net/10292/15166
dc.publisherMDPI AGen_NZ
dc.relation.urihttps://www.mdpi.com/1911-8074/15/2/53en_NZ
dc.rights© 2022 by the authors. Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (https:// creativecommons.org/licenses/by/ 4.0/).
dc.rights.accessrightsOpenAccessen_NZ
dc.subjectEarnings; Announcements; Options; Informed trading; Net buying pressure; Volatility; Direction; At-the-money; Out-of-the-money; Deep-out-of-the-money
dc.titleNet Buying Pressure and Informed Trading in the Options Market: Evidence From Earnings Announcementsen_NZ
dc.typeJournal Article
pubs.elements-id448011
pubs.organisational-data/AUT
pubs.organisational-data/AUT/Faculty of Business, Economics and Law
pubs.organisational-data/AUT/Faculty of Business, Economics and Law/School of Business
pubs.organisational-data/AUT/Faculty of Business, Economics and Law/School of Business/Finance Department
pubs.organisational-data/AUT/PBRF
pubs.organisational-data/AUT/PBRF/PBRF Business Economics and Law
pubs.organisational-data/AUT/PBRF/PBRF Business Economics and Law/Faculty Review Team PBRF 2018
pubs.organisational-data/AUT/PBRF/PBRF Business Economics and Law/Finance Department PBRF 2018
pubs.organisational-data/AUT/zBusiness School Accreditation
pubs.organisational-data/AUT/zBusiness School Accreditation/2020
Files
Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
jrfm-15-00053.pdf
Size:
239.95 KB
Format:
Adobe Portable Document Format
Description:
Journal article
Download
License bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
AUT Grant of Licence for Tuwhera Jun 2021.pdf
Size:
360.95 KB
Format:
Adobe Portable Document Format
Description:
Download
Collections
AUT Business School