Detecting Informed Trading in Illiquid Option Markets
Researchers: Augustin, P., Grass, G., and Subrahmanyam, M. G.
Summary of research project:
Patrick Augustin awarded 2016 CME Group Foundation Grant: "Detecting Informed Trading in Illiquid Option Markets"
This research grant is awarded jointly to Patrick Augustin (Desautels), Gunnar Grass (HEC Montreal), Marti G. Subrahmanyam, Charles E. Merril (New York Stern School of Business)
Studies in this week’s Hutchins Roundup find that macroprudential policies that target the cost of bank capital are the most effective way to contain housing booms, bonus depreciation has a significant impact on investment, and more.
Authors: Augustin, P., Subrahmanyam, M. G., Tang, D. Y., and Wang, S. Q.
Publications: Annual Review of Financial Economics
Professor Patrick Augustin wins Best Paper on Empirical Finance at the 2015 Northern Finance Association Annual Meeting for his paper "Informed Options Trading prior to M&A Announcements: Insider Trading?" with co-authors Menachem Brenner and Marti G. Subrahmanyam.
Authors: Augustin, P., Brenner, M., and Subrahmanyam, M. G.
Publications: Social Science Research Network
Authors: Patrick Augustin, Jianfeng Hu, Menachem Brenner and Marti Subrahmanyam
Over the past year, a record 266 companies have spun off divisions in a trend bankers are calling “Spinmania.” If history is any guide, about 35 of those deals will have leaked undetected to inside traders.
A new study by a team of finance professors suggests one in eight corporate spinoffs and divestments in the U.S. between 1996 and the end of 2013 was preceded by suspicious trading in options markets. The Securities and Exchange Commission hasn’t brought a single case relating to such trading then or since, according to the report, due to be published later this month.
Authors: Augustin, P., Subrahmanyam, M.G., Tang, D.Y., Wang, S.Q.
Publication: Foundations and Trends in Finance
Third Annual OptionMetrics Research Conference Brings Together International Academia, Financial Professionals to 'Convene' on October 20th in New York City
OptionMetrics, a leading source for quality historical option price data, tools and analytics, has announced the upcoming OptionMetrics Research Conference (ORC2014).