Discussion of 'Option Prices Leading Equity Prices: Do Option Traders Have an Information Advantage'

Journal of Accounting Research, Forthcoming

16 Pages Posted: 16 Feb 2012

See all articles by Andrew Van Buskirk

Andrew Van Buskirk

Ohio State University (OSU) - Department of Accounting & Management Information Systems

Date Written: January 19, 2012

Abstract

Jin, Livnat, and Zhang (JLZ) examine the predictive ability of two option characteristics – volatility skew and volatility spread – around significant information events such as earnings announcements and unscheduled corporate announcements. They conclude that option traders have an information advantage over equity traders prior to a variety of information events, as well as after unscheduled events. I discuss some of the major themes that arose during JLZ’s conference presentation, including the distinction between information processing and information acquisition; the volatility measures used by JLZ; and JLZ’s interpretation of their results.

Keywords: Volatility Skew, Volatility Spread, Information Advantage

JEL Classification: D82, G14, M41

Suggested Citation

Van Buskirk, Andrew, Discussion of 'Option Prices Leading Equity Prices: Do Option Traders Have an Information Advantage' (January 19, 2012). Journal of Accounting Research, Forthcoming, Available at SSRN: https://ssrn.com/abstract=2001723

Andrew Van Buskirk (Contact Author)

Ohio State University (OSU) - Department of Accounting & Management Information Systems ( email )

2100 Neil Avenue
Columbus, OH 43210
United States

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