Signed Option Trading and Stock Market Anomalies

嘉宾简介：肖晓，伦敦城市大学贝叶斯商学院金融系副教授。2017年毕业于荷兰伊拉斯姆斯大学，获金融学博士学位。主要研究领域为金融经济学，实证资产定价和金融衍生品，曾多次获得加拿大Canadian Derivatives Institute研究资金支持。论文主要发表于Journal of Financial Economics, Journal of Financial and Quantitative Analysis, and Management Science等金融和管理顶级期刊。

讲座摘要：This paper examines how options traders trade daily stock market mispricing measured by short-term past return and put-call option volatility spread. Anomaly return is 7.31 basis points per day when customer option traders trade along with the anomaly signal and is insignificant when they trade against it. This effect is more pronounced for out-of-money options. We show that the delta-hedging activities by option market makers and copycat trades by other institutional investors associated with customer options trades help the correction of mispricing.