Prior studies investigating the stock market have documented that the day when a firm is granted a patent contains information that affects the market. This study examines the roles of informed traders who reveal information in the options market by examining the informational content of options trading on patent announcement returns. The empirical results show that call-put implied volatility spreads contain information about a firm being granted a patent and positively significantly predict two-day patent announcement returns. The degree of announcement return predictability is also stronger when the volatility spread is measured under high option liquidity.
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。