Security Issue Timing: What Do Managers Know, and When Do They Know It?
研究大公司出售看跌期权（put option）的时机选择，发现管理者能成功择时，期权发行后100天内股票异常回报约5%，且大部分异常回报出现在发行后首次盈余公告日之后。
ABSTRACT We study put option sales on company stock by large firms. An often‐cited motivation for these transactions is market timing, and managers' decision to issue puts should be sensitive to whether the stock is undervalued. We provide new evidence that large firms successfully time security sales. In the 100 days following put option issues, there is roughly a 5% abnormal stock return, with much of the abnormal return following the first earnings release date after the sale. Direct evidence on put option exercises reinforces these findings: exercise frequencies and payoffs to put holders are abnormally low.