Topic: Chasing Private Information

Speaker: Marcin Kacperczyk, Professor of Finance, Business School, Imperial College London

Date: May 11th (Wednesday.)

Time: 2:30pm-4:00pm

Location: Building 4, Room 101

Language: English

Abstract:

Using a novel sample of 3,586 equity and option trades based on material and nonpublic information, we examine whether asset prices and trading volume reveal to markets information about the presence of informed trading. We find that information embedded in equity (option) markets offers a generally weaker (stronger) signal of private information. The most robust metrics combine both option and stock volume, especially those using leveraged and short-term options. Further, we show that the patterns showing how information is revealed to markets do not depend on whether informed traders strategically delay their trades upon receiving information about the firm. Finally, we document significant information spillovers from equity to option markets, but not vice versa. Overall, our results provide new guidance in the search for private information.

About the speaker:

Marcin Kacperczyk holds the Professor of Finance at the Business School of Imperial College London. He is also a Research Associate at the Centre for Economic Policy Research. Previously, Professor Kacperczyk spent six years in the National Bureau of Economic Research, Cambridge MA as a Faculty Research Fellow. He received a Ph.D. in Finance from the University of Michigan in 2004. Professor Kacperczyk’s research interests include the investments, mutual funds, empirical asset pricing, behavioral finance, information economics and so on. He has articles published in the Quantitative Finance, the Quarterly Journal of Economics, the Journal of Finance, the Journal of Financial Economics, the Review of Financial Studies, and the Review of Finance among others. Professor Kacperczyk is also an associate editor of the Review of Financial Studies and Review of Finance.