My Name is Xuewu Wang. I am currently a PhD candidate in Finance at the Ross School of Business , the University of Michigan . The best way to reach me is via xuewuw@bus.umich.edu . I will usually respond within 24 hours. For more information, you can find my cv here . And yes, I'll be on the job market this year.
Below please find yourself some information about my research and other stuff.
Informed Option Trading Around Merger Announcements
This is my job market paper. I examine option trading prior to significant information events in this paper.
Using a broad sample of merger announcements, I find that there is abnormal option trading prior to such announcements. This abnormal
option trading is mainly concentrated in short-term and at-the-money options. Trading volume in these options strongly contributes
to the pre-takeover stock price runup. Implied volatility spread calculated from these options is strongly positively associated with
the abnormal trading volume. Finally, I also investigate whether abnormal option trading volume can help predict illegal insider
trading prior to merger announcements and whether option trading volume can be used to predict takeover targets. I find strong supportive
evidence for both of these two conjectures.
Sentiment Strategies
This piece of work is based on my second-year summer paper. Interestingly, after I posted to
SSRN ,
the ICFAI Journal of Behavioral Finance requires a reprint in their journal, to which I gave my permission. It is now published
in its December 2004 Issue.
Past Stock Returns and Option Prices
This is a working paper with my advisor,
Professor Nejat Seyhun . I present this paper at the FMA annual meetings
in Salt Lake City, Utah. We did lots of interesting things in this paper. Hope you enjoy reading it.
Time-Varying Liquidity Trading, Private Information and Insider Trading
Using a comprehensive dataset of insider trades, I investigate trading volume and profitability of insider trades around scheduled versus
unscheduled corporate announcements to explore how corporate insiders make use of their private information when there is a dispersion in
the amount of liquidity trading. I show that corporate insiders trade more heavily before unscheduled corporate announcements as compared
to scheduled announcements. Also insider trades before unscheduled announcements are much more profitable than those before scheduled
announcements. This evidence clearly suggests that corporate insiders time their trades around material corporate information events based
on the amount of liquidity trading available to camouflage their trades. I also relate this finding to private information and test whether
PIN captures information asymmetry around such events. I find that PIN is much higher before unscheduled announcements than before scheduled ones.
Work In Progress
Order-Splitting Strategies of Corporate Insiders
Does the market recognize informed trades?
last updated: July 05, 2008