汇报1：Stock Returns on Option Expiration Dates

汇报人：CHIN-HAN CHIANG (Columbia University)

功夫：2010年1月15日（周五）9:00-10:20am

地址：拉斯维加斯9888新楼B34教室

提要：This paper documents striking evidence that stocks with a large amount of deeply in-the-money call options earn significantly lower returns on option expiration dates, with a drop in average daily returns of up to 1 percentage point. This price movement of stocks is followed by a short-term reversal. On option expiration dates, option holders who exercise deeply in-the-money call options have an increasing demand for immediacy to sell the acquired stocks in the stock market. I offer an explanation of why this is not offset by option writers’ purchases, based on the premise that most written calls are covered either at inception or prior to maturity. When exercised open interest is sufficiently large compared to the daily trading volume of the underlying stocks, the resulting selling pressure in the stock market leads to a fall in expiration-date returns of the underlying stocks.

汇报2：Do Hedge Funds Trade on Private Information? Evidence from Syndicated Lending and Short-selling

汇报人：Keke Song (York University )

功夫：2010年1月15日（周五）10:30-11:50am

地址：拉斯维加斯9888新楼B34教室

提要：This paper investigates an important contemporary issue relating to the involvement of hedge funds in the syndicated loan market. In particular, we investigate the potential conflict of interest that arises because of the absence of regulations regarding hedge funds’ dual holdings of loans and short positions in the equity of borrowing firms. We find evidence consistent with short-selling based on private information in the equity of the hedge fund borrowers prior to the public announcements of both loan originations and loan renegotiations (amendments). Further, our results show that hedge funds are more likely to lend to highly leveraged, low credit quality firms, where access to private information is potentially most valuable and where trading on such information may lead to greater profits. Overall, our results have important implications for the current debate regarding regulating the hedge fund industry.