Topic: Option Volume and Anomalies

Speaker: Allaudeen Hameed, Tang Peng Yeu Professor in Finance, National University of Singapore (NUS) Business School

Date: March 27 (Wednesday)

Time: 10:00-11:30am

Location: Building 4 Room 102

Language: English

Abstract:

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.

About the speaker:

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.