Informational Content of Warrant Trading Prior to Interim Monthly‐Revenue Report: Evidence From the Taiwan Warrant Market

Che‐Chia Chang, Chao‐Chun Chen and Pin‐Yu Huang

Journal of Futures Markets, 2025, vol. 45, issue 10, 1616-1635

Abstract: Taiwan‐listed companies are required to report unaudited net operating revenues monthly. This study examines the information content of trading in the short‐sale‐prohibited domestic warrant market before the interim accounting disclosures by adopting an implied volatility skew (IV skew) as a proxy for informed trading. We find a significantly negative relationship between the pre‐announcement abnormal IV skew of warrants and cumulative abnormal stock return around monthly‐revenue disclosures. The results of the placebo test further suggest that the return predictability of the IV skew is not prevalent in normal periods, but only the pre‐announcement IV skew possesses predictive power toward future stock returns. Furthermore, the predictability of warrants' IV skew on monthly‐revenue announcement return is stronger when the underlying stocks are priced high and weaker when some information about unpublished revenues has been reflected by pre‐announcement stock returns. These findings suggest that informed trading is the driving force behind warrant market activities before monthly‐revenue reporting.

Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1002/fut.70009

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wly:jfutmk:v:45:y:2025:i:10:p:1616-1635

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0270-7314

Access Statistics for this article

Journal of Futures Markets is currently edited by Robert I. Webb

More articles in Journal of Futures Markets from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().