FRIC/Finance Seminar with Marcin Kacperczyk, Imperial College London
FRIC Center for Financial Frictions and the Department of Finance are proud to announce the upcoming seminar with Marcin Kacperczyk, Imperial College London Business School.
Marcin Kacperczyk will present
ABSTRACT
Using a novel sample of 3,586 equity and option trades based on material and nonpublic information, we examine whether asset prices and trading volume reveal to markets information about the presence of informed trading. We find that information embedded in equity (option) markets offers a generally weaker (stronger) signal of private information. The most robust metrics combine both option and stock volume, especially those using leveraged and short-term options. Further, we show that the patterns showing how information is revealed to markets do not depend on whether informed traders strategically delay their trades upon receiving information about the firm. Finally, we document significant information spillovers from equity to option markets, but not vice versa. Overall, our results provide new guidance in the search for private information.