Returns to Option Strategies Following Class Action Lawsuits
Abstract
Turmoil and uncertainty confront firms when they are named as defendants in class action lawsuits. In this article, we consider whether option markets interpret the implications of these dramatic corporate events for mid- to long-term performance. In particular, we consider relatively simple, long, volatility-based combined option positions. We find consistent, positive, and frequently significant returns to option straddle and strangle...
Paper Details
Title
Returns to Option Strategies Following Class Action Lawsuits
Published Date
Oct 24, 2019
Journal
Volume
29
Issue
1
Pages
119 - 131
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