Research

S. C. Anagnostopoulou, A. Ferentinou, P. Tsaousis, A. Tsekrekos: The Option Market Reaction to Bank Loan Announcements

March 21, 2016

In this study, we examine the options market reaction to bank loan announcements for the population of US firms with traded options and loan announcements during 1996–2010. We get evidence on a significant options market reaction to bank loan announcements in terms of levels and changes in short-term implied volatility and its term structure, and observe significant decreases in short-term implied volatility, and significant increases in the slope of its term structure as a result of loan announcements.