FINANCIAL MANAGEMENT · Volume 47, Issue 1· 2018

股利变化公告前的知情期权交易

作者：Jun Zhang (Oklahoma State University in Stillwater, OK)

摘要：这篇文章研究了股利变化公告前的期权交易的信息内容。我们发现公告前的异常隐含波动率差（异常隐含波动率偏度）和股利变化公告期的累计股票异常收益率呈现正（负）相关关系。知情期权交易对股利下降公告期间的股票收益率预测力更强，并且当期权市场比股票市场的流动性更强时，其预测力更强；当信息已经被反映在股市上时，其预测力更弱。在安慰剂测试和其他知情期权交易测度方法下，知情期权交易的预测力仍然强健。总之，结果表明知情期权交易能预测股利变动公告期间的股票收益率。

Informed Options Trading Prior to Dividend Change Announcements

Jun Zhang (Oklahoma State University in Stillwater, OK)

ABSTRACT

This paper investigates the information content of options trading prior to dividend change announcements. I find a positive (negative) relation between pre-announcement abnormal implied volatility (IV) spread (abnormal IV skew) and cumulative abnormal stock returns around dividend change announcements. The predictive power of informed options trading is stronger for announcements of dividend reduction and when the options market is more liquid relative to the stock market and weaker when information has already been incorporated in the stock market. The predictability of informed options trading is robust to a placebo test and alternative measures of informed options trading. Overall results suggest that informed options trading predicts dividend change announcement returns.

原文链接：

http://onlinelibrary.wiley.com/doi/10.1111/fima.12187/full

翻译：吴雨玲