Allen M. Poteshman (University of Illinois at Urbana-Champaign)
Abstract
After September 11, 2001, there was a great deal of speculation that the terrorists or their associates had traded in the option market on advanced knowledge of the impending attacks. This paper generates systematic information about option market activity that can be used to assess the option trading that precedes any event of interest. Examination of the option trading leading up to September 11 reveals that there was an unusually high level of put buying. This finding is consistent with informed investors having traded options in advance of the attacks.
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Publisher Info
Article provided by University of Chicago Press in its journal Journal of Business.
Volume (Year): 79 (2006) Issue (Month): 4 (July) Pages: 1703-1726 Download reference. The following formats are available: HTML
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