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- W2998183246 abstract "We explore whether there is informed trading, which takes advantage of data breach events. By analyzing transactions in the options market, we conjecture that there are two distinct informed trading patterns that likely begin approximately three months and nine months prior to corporate data-breach announcements, which are supported by evidence of higher trading volume and open interest for put options, a higher put-to-call volume ratio, a higher put-to-call open interest ratio, and lower spreads prior to data-breach announcements. We further examine stock reactions following data-breach announcements and find signi cantly negative CARs of -0.35% within one day. Cross-sectional analysis provides evidence that put-call ratios have predictive power for stock returns. We provide additional evidences such as the CARs of events with high data-breach probabilities and possible trading strategies in stock markets and options markets." @default.
- W2998183246 created "2020-01-10" @default.
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- W2998183246 date "2019-01-01" @default.
- W2998183246 modified "2023-09-23" @default.
- W2998183246 title "Informed Trading Surrounding Data Breaches in Options Markets" @default.
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- W2998183246 doi "https://doi.org/10.2139/ssrn.3478263" @default.
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