JOURNAL OF FINANCIAL MARKET· VOL. 27, PAGES 79-101 · JANUARY 2016

公司股票回购公告前存在信息泄露现象吗？——来自日度期权交易的证据

作者：(Grace) Qing Hao

摘要：本文第一次考察了在公告公司股票回购事件之前的股票期权交易行为。本文实证研究了1996-2012年间美国公司的2000余个股票回购事件，发现在公告之前相关股票期权的平均隐含波动率差值会出现突然上升。进一步的，我还发现公告之前的股票期权隐含波动率差值与股票回购的公告效应带来的收益率呈正相关关系。不同的回归模型以及随机测试均表明以上结论的稳健性。综上所述，由于信息泄露，期权市场的一些参与者知晓了即将到来的股票回购事件。

关键词：期权市场，股票回购，隐含波动率差，信息泄露

Is there information leakage prior to share repurchase announcements? Evidence from daily options trading

(Grace) Qing Hao

ABSTRACT

This study is the first examination of daily stock options trading prior to corporate share repurchases announcements. Using a sample of over 2,000 share repurchase announcements in the United States during the 1996–2012 period, I find that the average volatility spreads become abnormally high immediately prior to repurchase announcements. Furthermore, the pre-announcement abnormal volatility spreads are positively associated with the repurchase announcement return. The results are robust to different regression specifications and randomization tests. Taken together, my findings suggest that some options market participants are informed about the upcoming repurchase announcements, facilitated by information leakage.

Keywords: Options market, Share repurchase, Volatility spread, Information leakage

原文链接：

http://www.sciencedirect.com/science/article/pii/S1386418115000683

翻译：柳依依