Purpose

This paper aims to investigate whether single-name options trading prior to earnings announcements is more informative when there exist real activity manipulations.

Design/methodology/approach

Using 5,419 earnings announcements during 2004–2018 made by 208 public US companies with relatively high options volumes ranked by the CBOE, the authors uncover two regularities using predictive regressions for stock return.

Findings

First, the total options volume up to twenty days pre-announcement is significantly higher than that in other periods only for earnings management firms; moreover, after detailing options characteristics, the authors find these intensive pre-announcement trading to be concentrated in transactions of in-the-money call and long-term maturity put options. Second, an increase in the single-name call minus put options volume can positively predict the underlying stock’s next-day excess return much better in real earnings management firms, with a larger magnitude of effect in periods right before regular earnings announcement dates.

Originality/value

This paper makes a marginal and novel contribution by showing that real earnings management can serve as a proxy for the potential profit from informed trading in options as the return predictability of options volume becomes stronger for firms that have the manipulation motive and indeed perform manipulative actions.

中文翻译：

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收益公告前和实际活动操纵下的期权信息量

目的

本文旨在调查当存在实际活动操纵时，在收益公告之前进行单名期权交易是否更能提供信息。

设计/方法/方法

作者使用 208 家美国上市公司在 2004 年至 2018 年期间发布的 5,419 份收益公告，这些公司的期权交易量在 CBOE 排名中相对较高，作者使用股票回报的预测回归发现了两个规律。

发现

第一，公告前二十天的期权总量明显高于其他期间仅盈余管理公司的期权总量；此外，在详细说明期权特征后，作者发现这些密集的公告前交易集中在价内看涨期权和长期到期看跌期权的交易中。其次，在实际盈余管理公司中，单一看涨期权减去看跌期权交易量的增加可以更好地预测标的股票的第二天超额回报，在常规收益公布日期之前的时期影响更大。

原创性/价值

本文通过表明实际盈余管理可以作为期权知情交易的潜在利润的代理，做出了边际和新颖的贡献，因为对于具有操纵动机并确实执行操纵行为的公司而言，期权交易量的回报可预测性变得更强。