Informed trading around merger and acquisition announcements: Evidence from the UK equity and options markets
研究了英国股票和期权市场在并购公告前约25-33%的事件中存在异常期权交易量，支持知情投资者同时在期权和股票市场交易的论点。
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. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark 31:703–726, 2011