Informed trading prior to financial misconduct: Evidence from option markets

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Financial Markets Pub Date : 2024-01-01 DOI:10.1016/j.finmar.2023.100855

Keming Li

引用次数: 0

Abstract

This paper shows an abnormal level of option trading activities in the ten days before the revelation of financial misconduct in a sample of the SEC and/or DOJ enforcement actions. These abnormal option trading volumes are negatively associated with the subsequent stock returns to the announcements, and are positively linked to firm penalty, the number of violations, prison sentences, fraud charge, top executives number, potential firm deception toward auditors, impeded investigation, and violation period. Finally, abnormal option trading is related to the time to discovery and the likelihood of discovery. These results suggest that option traders detect firms engaged in financial misconducts.

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财务不端行为之前的知情交易：来自期权市场的证据

本文以美国证券交易委员会（SEC）和/或司法部（DOJ）的执法行动为样本，展示了财务不当行为被揭露前十天内的异常期权交易活动。这些异常期权交易量与公告发布后的股票回报率呈负相关，与公司处罚、违规数量、监禁判决、欺诈指控、高管人数、公司对审计师的潜在欺骗、调查受阻和违规时间呈正相关。最后，异常期权交易与发现时间和发现可能性相关。这些结果表明，期权交易者会发现从事财务不当行为的公司。

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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来源期刊

Journal of Financial Markets BUSINESS, FINANCE-

CiteScore

3.40

自引率

3.60%

发文量

期刊介绍： The Journal of Financial Markets publishes high quality original research on applied and theoretical issues related to securities trading and pricing. Area of coverage includes the analysis and design of trading mechanisms, optimal order placement strategies, the role of information in securities markets, financial intermediation as it relates to securities investments - for example, the structure of brokerage and mutual fund industries, and analyses of short and long run horizon price behaviour. The journal strives to maintain a balance between theoretical and empirical work, and aims to provide prompt and constructive reviews to paper submitters.