We investigate the informational efficiency of trading in warranted/optioned stocks in the context of stock repurchase announcements. We choose the stock repurchase announcements that are usually associated with positive abnormal returns. Our event study and cross-sectional analysis result show that there are no significant differences between the abnormal returns from warranted/optioned and non-warranted/optioned stocks for our 446 stock repurchase events. Nevertheless, we introduce a new information variable estimated by warrant implied realized volatility versus stock realized volatility for overall investigation of the relative information between underlying and derivative market. Our study demonstrates the significant predictive power of that information variable.
為了持續優化網站功能與使用者體驗,本網站將Cookies分析技術用於網站營運、分析和個人化服務之目的。
若您繼續瀏覽本網站,即表示您同意本網站使用Cookies。