Informed Trading in the Stock Market and Option-Price Discovery
研究发现，当活跃股东提交13D文件时，股价波动率下降约10%，且此信息提前反映在期权价格中，表现为隐含波动率下降、偏斜度和时间斜率上升，支持知情交易仅发生在股票市场的理论模型。
Abstract When activist shareholders file Schedule 13D filings, the average stock-price volatility drops by approximately 10%. Prior to filing days, volatility information is reflected in option prices. Using a comprehensive sample of trades by Schedule 13D filers that reveals on what days and in what markets they trade, we show that on days when activists accumulate shares , option-implied volatility decreases, implied volatility skew increases, and implied volatility time slope increases. The evidence is consistent with a theoretical model where it is common knowledge that informed trading occurs only in the stock market and market makers update option prices based on stock-price and order-flow dynamics.