Professor Richard Roll, Anderson School at UCLA, will give his Key Note address on Friday August 21 at 3:30 pm to 4:45 pm.
Location: Aula, NHH.
The Title of the Talk is:O/S: The Relative Trading Activity in Options
Abstract: Relatively little is known about the trading volume in derivatives relative to the volume in underlying stocks. We study the time-series properties and the determinants of the options/stock trading volume ratio (O/S) using a comprehensive cross-section and time-series of data on equities and their listed options. O/S is related to many intuitive determinants such as delta and trading costs, and it also varies with institutional holdings, analyst following, and analyst forecast dispersion. O/S is higher around earnings announcements, suggesting increased trading in the options market. Further, post-announcement absolute returns are positively related to preannouncement O/S, which suggests that at least part of the pre-announcement options trading is informed.
The talk is based on paper co-authored with Eduardo Schwartz and Avanidhar Subrahmanyam, both Anderson School at UCLA.