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- W2912490432 abstract "This paper reports evidence of a theory-consistent spillover effect around the disclosure dates of private placements and seasoned equity offers in the US share and options markets. A share price increase around the private placement disclosure date would make calls in-the-money, so call prices increase, but puts become out-of-money so put prices are unaffected. Conversely, share price decline around announcement dates makes put prices increase because puts are in-the-money but call prices decline. These predicted results are in support of spillover effect in options markets. To examine whether the spillover effect is cointegrated or Granger-caused, causality and cointegration tests performed reject any predictable spot-to-option-market dependence in either direction, so any trading strategy for profitable trading across markets is unlikely to succeed. These across-market spillover effects around private placement/seasoned equity offer dates and the markets’ interdependent pricing have yet been documented, so these finding are new to the literature." @default.
- W2912490432 created "2019-02-21" @default.
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- W2912490432 date "2013-01-01" @default.
- W2912490432 modified "2023-09-23" @default.
- W2912490432 title "Spot-to-Option Market Spillover Effect from Equity Offers: Are Markets Predictably Integrated?" @default.
- W2912490432 doi "https://doi.org/10.2139/ssrn.2307747" @default.
- W2912490432 hasPublicationYear "2013" @default.
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