Informed Options Trading Prior to Dividend Change Announcements
研究了股息变动公告前期权交易的信息含量，发现异常隐含波动率价差和偏度能预测公告前后的股票累计异常回报，对股息减少公告和期权市场流动性较高时预测力更强。
Abstract This paper investigates the information content of options trading prior to dividend change announcements. I find a positive (negative) relation between pre‐announcement abnormal implied volatility (IV) spread (abnormal IV skew) and cumulative abnormal stock returns around dividend change announcements. The predictive power of informed options trading is stronger for announcements of dividend reduction and when the options market is more liquid relative to the stock market and weaker when information has already been incorporated in the stock market. The predictability of informed options trading is robust to a placebo test and alternative measures of informed options trading. Overall results suggest that informed options trading predicts dividend change announcement returns.