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Informational Content of Option Volume Prior to Takeovers

✍ Scribed by Cao, Charles; Chen, Zhiwu; Griffin, John M.

Book ID: 123881056
Publisher: University of Chicago Press
Year: 2005
Tongue: English
Weight: 339 KB
Volume: 78
Category: Article
ISSN: 0021-9398
DOI: 10.1086/429654

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## Abstract This article reports new empirical results on the information content of implied volatility, with respect to modeling and forecasting the volatility of individual firm returns. The 50 firms with the highest option volume on the Chicago Board Options Exchange between 1988 and 1995 are ex