【学术预告】新加坡国立大学商学院金融学讲席教授Allaudeen Hameed学术研讨会: 期权交易量和异常现象

时间: 2019-03-27 14:05 来源: 作者: 浏览量:897 字号: 打印

主题:Option Volume and Anomalies(期权交易量和异常现象)

主讲人:Allaudeen Hameed , 新加坡国立大学商学院Tang Peng Yeu金融学讲席教授

日期:2019年3月27(周三)

时间:上午10:00 - 11:30

地点:清华五道口金融学院4号楼102教室

语言:英文

摘要:

We document a strong, positive relation between stock market anomaly returns and trading activity in options, inconsistent with the idea that options trading improves the informational efficiency of the stock market. Moreover, the positive relation between option volume on anomaly returns concentrates in stocks with high short-selling constraints. Additional analyses suggest that the negative joint effect of option volume and overpriced stocks on future stock returns is driven by high investor disagreement associated with heavy option trading rather than intensive informed trading in options.

主讲人简介:

Allaudeen Hameed is the Tang Peng Yeu Professor of Finance at the National University of Singapore (NUS) Business School. Professor Hameed’s research interests include return-based trading strategies, stock return co-movement, liquidity, role of financial analysts and international financial markets. His research work has been published in leading finance journals such as The Journal of Finance, Journal of Financial Economics, The Journal of Financial and Quantitative Analysis and Review of Financial Studies. He is an Editor at the International Review of Finance and serves on editorial boards of the Journal of Financial and Quantitative Analysis, Financial Management, and Pacific-Basin Finance Journal. Professor Hameed is also the recipient of several research awards.