Security Issue Timing: What Do Managers Know, and When Do They Know It? /
Jenter, Dirk.
Security Issue Timing: What Do Managers Know, and When Do They Know It? / Dirk Jenter, Katharina Lewellen, Jerold B. Warner. - Cambridge, Mass. National Bureau of Economic Research 2006. - 1 online resource: illustrations (black and white); - NBER working paper series no. w12724 . - Working Paper Series (National Bureau of Economic Research) no. w12724. .
December 2006.
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.
System requirements: Adobe [Acrobat] Reader required for PDF files.
Mode of access: World Wide Web.
Security Issue Timing: What Do Managers Know, and When Do They Know It? / Dirk Jenter, Katharina Lewellen, Jerold B. Warner. - Cambridge, Mass. National Bureau of Economic Research 2006. - 1 online resource: illustrations (black and white); - NBER working paper series no. w12724 . - Working Paper Series (National Bureau of Economic Research) no. w12724. .
December 2006.
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.
System requirements: Adobe [Acrobat] Reader required for PDF files.
Mode of access: World Wide Web.