TY  - JOUR
AU  - Jenter,Dirk
AU  - Lewellen,Katharina
AU  - Warner,Jerold B.
TI  - Security Issue Timing: What Do Managers Know, and When Do They Know It?
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 12724
PY  - 2006
Y2  - December 2006
UR  - http://www.nber.org/papers/w12724
L1  - http://www.nber.org/papers/w12724.pdf
N1  - Author contact info:
Dirk Jenter
Stanford University
Graduate School of Business
655 Knight Way
Stanford, CA 94305-5015
Tel: 650/498-4411
E-Mail: djenter@stanford.edu

Katharina Lewellen
Tuck School at Dartmouth
100 Tuck Hall
Hanover, NH 03755
E-Mail: katharina.lewellen@tuck.dartmouth.edu

Jerold B. Warner
William E. Simon Graduate School of Business Admin
University of Rochester
Carol Simon Hall, Wilson Boulevard
Rochester, NY 14627
E-Mail: warner@simon.rochester.edu
AB  - We study put option sales undertaken by corporations during their repurchase programs.  Put sales' main theoretical motivation is market timing, providing an excellent framework for studying whether security issues reflect managers' ability to identify mispricing.  Our evidence is that these bets reflect timing ability, and are not simply a result of overconfidence.  In the 100 days following put option issues, there is roughly a 5% abnormal stock price return, and the abnormal return is concentrated around the first earnings release date following put option sales.  Longer term effects are generally not detected.  Put sales also appear to reflect successful bets on the direction of stock price volatility.
ER  -