Security Issue Timing: What Do Managers Know, and When Do They Know It?
Dirk Jenter (),
Katharina Lewellen and
Jerold B. Warner
No 12724, NBER Working Papers from National Bureau of Economic Research, Inc
We study put option sales undertaken by corporations during their repurchase programs. Put sales' main theoretical motivation is market timing, providing an excellent framework for studying whether security issues reflect managers' ability to identify mispricing. Our evidence is that these bets reflect timing ability, and are not simply a result of overconfidence. In the 100 days following put option issues, there is roughly a 5% abnormal stock price return, and the abnormal return is concentrated around the first earnings release date following put option sales. Longer term effects are generally not detected. Put sales also appear to reflect successful bets on the direction of stock price volatility.
JEL-codes: G1 G14 G3 G32 G35 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-mst
Note: CF AP
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Published as Jenter, Dirk, Katharina Lewellen, and Jerold B. Warner. "Security Issue Timing: What Do Managers Know, and When Do They Know It?" Journal of Finance 66, 2(April 2011): 413-43.
Downloads: (external link)
Journal Article: Security Issue Timing: What Do Managers Know, and When Do They Know It? (2011)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:nbr:nberwo:12724
Ordering information: This working paper can be ordered from
Access Statistics for this paper
More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().