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Three essays in derivatives, trading...

Wang, Tong.

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Three essays in derivatives, trading and liquidity.

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	Three essays in derivatives, trading and liquidity./
作者:	Wang, Tong.
面頁冊數:	114 p.
附註:	Source: Dissertation Abstracts International, Volume: 75-02(E), Section: A.
Contained By:	Dissertation Abstracts International75-02A(E).
標題:	Economics, Finance. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3598371
ISBN:	9781303469336

Three essays in derivatives, trading and liquidity.
Wang, Tong.

Three essays in derivatives, trading and liquidity. - 114 p.

Source: Dissertation Abstracts International, Volume: 75-02(E), Section: A.

Thesis (Ph.D.)--University of Southern California, 2013.

The work in Chapter 1 shows that hedging by option writers has a large and significant destabilizing effect on the stock market. We demonstrate that weekly return reversals are significantly stronger surrounding option expiration days. Our evidence suggests that the hedging pressure that drives weekly reversals mainly comes from index options rather than individual stock options. We find in addition that index option hedging appears to have an impact on the aggregate market, and that the strength this aggregate impact is highly related to the degree of cross-sectional reversal. We also find that index option prices tend to be high before option expiration, suggesting that option hedgers are attempting to unwind written positions that might be difficult to hedge due to price impact on the underlying stocks. Collectively, the evidence we present strongly supports the conclusion that option trading causes significant price displacements in stocks and in the market as a whole.

ISBN: 9781303469336Subjects--Topical Terms:

626650
Economics, Finance.

Three essays in derivatives, trading and liquidity.
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500 $a Source: Dissertation Abstracts International, Volume: 75-02(E), Section: A.
500 $a Adviser: Christopher Jones.
502 $a Thesis (Ph.D.)--University of Southern California, 2013.
520 $a The work in Chapter 1 shows that hedging by option writers has a large and significant destabilizing effect on the stock market. We demonstrate that weekly return reversals are significantly stronger surrounding option expiration days. Our evidence suggests that the hedging pressure that drives weekly reversals mainly comes from index options rather than individual stock options. We find in addition that index option hedging appears to have an impact on the aggregate market, and that the strength this aggregate impact is highly related to the degree of cross-sectional reversal. We also find that index option prices tend to be high before option expiration, suggesting that option hedgers are attempting to unwind written positions that might be difficult to hedge due to price impact on the underlying stocks. Collectively, the evidence we present strongly supports the conclusion that option trading causes significant price displacements in stocks and in the market as a whole.
520 $a Chapter 2 investigates the relationship between the slope of the implied volatility (IV) term structure and future option returns. A strategy that buys straddles with high IV slopes and short sells straddles with low IV slopes returns seven percent per month, with an annualized Sharpe ratio just less than two. Surprisingly, we find no relation between IV slopes and the returns on longer-term straddles, even though the correlation between the returns on portfolios of short-term and long-term straddles generally exceeds 0.9. Our evidence suggests that the return predictability we document is unrelated to systematic risk premia. We believe that our results point to two possible explanations. One is that temporary hedging pressure pushes option prices away from efficient levels. The other is that short-term options are more likely to be mispriced by noise traders than long-term options.
520 $a Chapter 3 shows that the positive correlation between stock-level trading activity and market betas remains strong even using the Dimson (1979) method to correct for non-synchronous trading. This finding suggests that controlling for non-synchronous trading alone does not provide unbiased inferences regarding the effects of events on market betas. Instead, it is necessary to control for changes in trading activity explicitly. We show that controlling for trading activity significantly changes the estimated impact of seasoned equity offerings and share repurchases on market betas.
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