Financial Instruments to Capture Fraud Induced Volatility

Jesper Sørensen ()

Chapter Chapter 32 in Shorting Fraud, 2025, pp 327-332 from Springer

Abstract: Abstract This chapter explores how to capitalize on the volatility resulting from exposing corporate fraud. It outlines strategies, where investors profit from significant price swings in either direction. The chapter also introduces variance and volatility swaps, which are bets on the future volatility of the underlying asset. Additionally, it explains calendar spreads, where investors can profit from increased market volatility following the release of a fraud report. Finally, the chapter touches on the potential spillover effects of fraud exposure on broader volatility instruments. These strategies offer investors diverse ways to potentially profit from the market’s reaction to corporate fraud revelations.

Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-031-81834-9_32

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DOI: 10.1007/978-3-031-81834-9_32

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