Informational Content of Options Trading on Acquirer Announcement Return
研究发现期权隐含波动率价差和偏度能预测收购方公告前后的累计异常回报，且预测力在并购公告日附近更强，为投资者利用期权信息判断并购事件影响提供了依据。
Abstract This study examines the informational content of options trading on acquirer announcement returns. We show that implied volatility spread predicts positively on the cumulative abnormal return (CAR), and implied volatility skew predicts negatively on the CAR. The predictability is much stronger around actual merger and acquisition (M&A) announcement days, as compared with pseudo-event days. The prediction is weaker if pre-M&A stock price has incorporated part of the information, but stronger if the acquirer’s options trading is more liquid. Finally, we find that a higher relative trading volume of options to stock predicts higher absolute CARs. The relation also exists among the target firms.