TAILIEUCHUNG - A Market-Induced Mechanism For Stock Pinning

Preferred stocks are a hybrid of debt and equity and have attributes of both securities. In an issuing company’s capital structure, they give investors a claim to income and assets before common equity investors but after debt holders. Preferred stocks pay a stream of fixed- or floating-rate payments similar to the coupon payments made on debt and provide no participation in the issuer’s residual gains or any voting rights. However, similar to dividend-paying equity, preferred stocks’ dividend payments are not a mandatory obligation of the issuer. Failure to pay preferred. | IMPA Rio de Janeiro Tenth Annual Workshop on Derivative Securities and Risk Management Center For Applied Probability Columbia University A Market-Induced Mechanism For Stock Pinning Marco Avellaneda Courant Institute of Mathematical Sciences New York University Michael D. Lipkin Katama Trading LLC American Stock Exchange 1 KO Sep 18 to Oct 17 2003 10 17 Close KO Sep 18 to Oct 17 2003 10 000 000 9 000 000 8 000 000 7 000 000 6 000 000 5 000 000 4 000 000 3 000 000 2 000 000 1 000 000 0 1 2 3 4 5 6 7 8 9 10111213141516171819 20 21 22 Day Avg. daily vol. 2yrs 5 M shares 2 KO Oct 15 16 17 Tick Statistical Evidence of Pinning Stock Price Clustering on Option Expiration Dates Preprint June 26 2003 Authors Sophie Xiaoyan Ni Neil Pearson and Allen M. Poteshman U. of Illinois Urbana-Champaign Data 1. Ivy DB OptionMetrics Jan 1996 Sep 2002 All stocks traded in US exchanges All options traded in US exchanges End of day bid-ask quotes volume open interest 2. CBOE Statistics Open interest and trading volume Jan 1996 to Dec 2001 4 Investor Categories Market Makers Firm Prop Traders Large Firm Clients Discount Firm Clients

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