Cashing in on Managerial Malfeasance: A Trading Strategy Around Forecasted Executive Stock Option Grants

Posted: 16 Oct 2010

See all articles by Ivo Ph. Jansen

Ivo Ph. Jansen

Rutgers University

Lee W. Sanning

University of Wyoming - College of Business

Date Written: October 14, 2010

Abstract

This study examined the profitability of a trading strategy that exploits the manipulation of stock prices around the grant date of executive stock options. The strategy generates annualized abnormal returns of 1.4–5.2 percent net of transaction costs and is relatively unaffected by the Sarbanes–Oxley Act of 2002.

Keywords: Equity Investments, Derivatives, Options Markets and Instruments, Option-Trading Strategies

Suggested Citation

Jansen, Ivo Ph. and Sanning, Lee W., Cashing in on Managerial Malfeasance: A Trading Strategy Around Forecasted Executive Stock Option Grants (October 14, 2010). Financial Analysts Journal, Vol. 66, No. 5, 2010, Available at SSRN: https://ssrn.com/abstract=1692304

Ivo Ph. Jansen (Contact Author)

Rutgers University ( email )

227 Penn. St
Camden, NJ 08102
United States
856-225-6696 (Phone)

Lee W. Sanning

University of Wyoming - College of Business ( email )

1000 E. University Avenue
Laramie, WY 82071
United States
307-766-3848 (Phone)

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