全球智库信息集成服务系统(G2TT): Security Issue Timing: What Do Managers Know, and When Do They Know It?

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w12724
来源ID	Working Paper 12724
	Security Issue Timing: What Do Managers Know, and When Do They Know It?
	Dirk Jenter; Katharina Lewellen; Jerold B. Warner
发表日期	2006-12-01
出版年	2006
语种	英语
摘要	We study put option sales undertaken by corporations during their repurchase programs. Put sales' main theoretical motivation is market timing, providing an excellent framework for studying whether security issues reflect managers' ability to identify mispricing. Our evidence is that these bets reflect timing ability, and are not simply a result of overconfidence. In the 100 days following put option issues, there is roughly a 5% abnormal stock price return, and the abnormal return is concentrated around the first earnings release date following put option sales. Longer term effects are generally not detected. Put sales also appear to reflect successful bets on the direction of stock price volatility.
主题	Financial Economics ; Financial Markets ; Corporate Finance
URL	https://www.nber.org/papers/w12724
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/570387
推荐引用方式 GB/T 7714	Dirk Jenter,Katharina Lewellen,Jerold B. Warner. Security Issue Timing: What Do Managers Know, and When Do They Know It?. 2006.