Security Issue Timing: What Do Managers Know, and When Do They Know it?

Dirk Jenter, Katharina Lewellen, Jerold B. Warner
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引用次数: 58

Abstract

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.
安全问题的时机:管理者知道什么,他们什么时候知道?
我们研究了公司在其回购计划中出售看跌期权的行为。卖出期权的主要理论动机是市场时机选择,这为研究证券问题是否反映了管理者识别错误定价的能力提供了一个极好的框架。我们的证据是,这些押注反映了把握时机的能力,而不仅仅是过度自信的结果。在卖出看跌期权后的100天内,大约有5%的异常股价回报,异常回报集中在卖出看跌期权后的第一个收益发布日期附近。长期影响一般不会被发现。卖出看跌期权似乎也反映了对股价波动方向的成功押注。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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