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The Behavior of Option Implied Standard Deviations Around Merger and Acquisition Announcements

✍ Scribed by Haim Levy; James A. Yoder


Book ID
119856459
Publisher
John Wiley and Sons
Year
1993
Tongue
English
Weight
500 KB
Volume
28
Category
Article
ISSN
0732-8516

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## Abstract This paper offers new evidence on informed trading around merger and acquisition announcements from the UK equity and options market. The analysis suggests that in about 25–33% of events there is abnormal option trading volume during the month that precedes the announcement. Such eviden