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Informed Options Trading Prior to Takeover Announcements: Insider Trading?

Author

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  • Patrick Augustin

    (Desautels Faculty of Management, McGill University, Montreal, Quebec H3A 1G5, Canada)

  • Menachem Brenner

    (Leonard N. Stern School of Business, New York University, New York, New York 10012)

  • Marti G. Subrahmanyam

    (Leonard N. Stern School of Business, New York University, New York, New York 10012)

Abstract

We quantify the pervasiveness of informed trading activity in target companies’ equity options before the announcements of 1,859 U.S. takeovers between 1996 and 2012. About 25% of all takeovers have positive abnormal volumes, which are greater for short-dated, out-of-the-money calls, consistent with bullish directional trading before the announcement. Over half of this abnormal activity is unlikely due to speculation, news and rumors, trading by corporate insiders, leakage in the stock market, deal predictability, or beneficial ownership filings by activist investors. We also examine the characteristics of option trades litigated by the Securities and Exchange Commission (SEC) for alleged illegal insider trading. Although the characteristics of such trades closely resemble the patterns of abnormal option volume in the U.S. takeover sample, we find that the SEC litigates only about 8% of all deals in it.

Suggested Citation

  • Patrick Augustin & Menachem Brenner & Marti G. Subrahmanyam, 2019. "Informed Options Trading Prior to Takeover Announcements: Insider Trading?," Management Science, INFORMS, vol. 65(12), pages 5697-5720, December.
    • Handle: RePEc:inm:ormnsc:v:65:y:2019:i:12:p:5697-5720
    DOI: 10.1287/mnsc.2018.3122
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    18. Christian Keller & Michael C. Tseng, 2023. "Arrow-Debreu Meets Kyle: Price Discovery for Derivatives," Papers 2302.13426, arXiv.org, revised Mar 2024.
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    21. Frederick Davis & Svetlana Davis & Xiaoyang Sha & Thomas Walker, 2022. "The impact of takeover anticipation on rival firms," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 49(7-8), pages 1264-1288, July.

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