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Full-Text Articles in Finance and Financial Management
Are Corporate Spin-Offs Prone To Insider Trading?, Patrick Augustin, Menachem Brenner, Jianfeng Hu, Marti Subrahmanyam
Are Corporate Spin-Offs Prone To Insider Trading?, Patrick Augustin, Menachem Brenner, Jianfeng Hu, Marti Subrahmanyam
Research Collection Lee Kong Chian School Of Business
Despite abundant empirical evidence of informed trading ahead of major corporate events, no such evidence has been reported in the case of corporate spinoff (SP) announcements. This is surprising, as SP announcements are unexpected, and are also associated with a positive price jump in the parent company’s stock. Using a sample of 280 US announcement events from 1996 to 2013, we document significant pre-announcement informed trading activity in options for about 9 to 16% of events in our sample. In contrast, we find statistically insignificant evidence of informed trading in stocks, suggesting that informed traders employ leverage through options. In …
Are Cds Auctions The Tail Wagging The Dog? An Empirical Study Of Corporate Bond Return Volatility At The Time Of Default, Jennifer Mace
Are Cds Auctions The Tail Wagging The Dog? An Empirical Study Of Corporate Bond Return Volatility At The Time Of Default, Jennifer Mace
CMC Senior Theses
Over the past decade, numerous engineered credit events and cases of market participants manipulating bond prices to influence Credit Default Swap (CDS) auction payouts have occurred. These cases have become increasingly common, and the CFTC has stated they may constitute market manipulation and undermine not only the CDS market but also the credit derivative and default markets. Although there is a plethora of news and media coverage on publicized cases, there is no previous empirical research on evidence of these practices. This paper is motivated by the desire to determine if there is indirect evidence of bond price manipulation around …
Three Essays In Financial Economics, Qianying Zhang
Three Essays In Financial Economics, Qianying Zhang
FIU Electronic Theses and Dissertations
The first paper revisits the link between interest rates and corporate bond credit spreads by applying Rigobon’s (2003) heteroskedasticity identification methodology. The second paper investigates the assumption that financial asset prices including stocks and bonds, reflect intrinsic value. The third paper decomposes the stock price into fundamental permanent, fundamental transitory, and non-fundamental shocks in order to explore the determinants of stock price fluctuations.