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Informed trading around merger and acquisitions announcements: evidence from the UK equity and options markets

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Informed trading around merger and acquisitions announcements : evidence from the UK equity and options markets. / Spyrou, Spyros; Tsekrekos, Andrianos; Siougle, Georgia.

In: Journal of Futures Markets, Vol. 31, No. 8, 08.2011, p. 703-726.

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Spyrou, Spyros ; Tsekrekos, Andrianos ; Siougle, Georgia. / Informed trading around merger and acquisitions announcements : evidence from the UK equity and options markets. In: Journal of Futures Markets. 2011 ; Vol. 31, No. 8. pp. 703-726.

Bibtex

@article{6840da5988c5414c9a9ffd7bc71c3d8d,
title = "Informed trading around merger and acquisitions announcements: evidence from the UK equity and options markets",
abstract = "This paper offers new evidence on informed trading around merger and acquisition announcements from the UK equity and options market. The analysis suggests that in about 25–33% of events there is abnormal option trading volume during the month that precedes the announcement. Such evidence is found in both call and put option volumes, is robust to different “estimation” and “event window” lengths, to different sub-samples, and to liquidity considerations. These results support the argument that informed investors will transact in both the options and the stock market, and are comparable to results reported by the FSA in the cash market.",
author = "Spyros Spyrou and Andrianos Tsekrekos and Georgia Siougle",
year = "2011",
month = aug,
doi = "10.1002/fut.20491",
language = "English",
volume = "31",
pages = "703--726",
journal = "Journal of Futures Markets",
issn = "0270-7314",
publisher = "Wiley-Liss Inc.",
number = "8",

}

RIS

TY - JOUR

T1 - Informed trading around merger and acquisitions announcements

T2 - evidence from the UK equity and options markets

AU - Spyrou, Spyros

AU - Tsekrekos, Andrianos

AU - Siougle, Georgia

PY - 2011/8

Y1 - 2011/8

N2 - This paper offers new evidence on informed trading around merger and acquisition announcements from the UK equity and options market. The analysis suggests that in about 25–33% of events there is abnormal option trading volume during the month that precedes the announcement. Such evidence is found in both call and put option volumes, is robust to different “estimation” and “event window” lengths, to different sub-samples, and to liquidity considerations. These results support the argument that informed investors will transact in both the options and the stock market, and are comparable to results reported by the FSA in the cash market.

AB - This paper offers new evidence on informed trading around merger and acquisition announcements from the UK equity and options market. The analysis suggests that in about 25–33% of events there is abnormal option trading volume during the month that precedes the announcement. Such evidence is found in both call and put option volumes, is robust to different “estimation” and “event window” lengths, to different sub-samples, and to liquidity considerations. These results support the argument that informed investors will transact in both the options and the stock market, and are comparable to results reported by the FSA in the cash market.

U2 - 10.1002/fut.20491

DO - 10.1002/fut.20491

M3 - Journal article

VL - 31

SP - 703

EP - 726

JO - Journal of Futures Markets

JF - Journal of Futures Markets

SN - 0270-7314

IS - 8

ER -