Gastvortrag von Prof. Dr. Olaf Korn (Georg-August-Universität Göttingen)
Am Dienstag, den 30.01.2018, findet ein Vortrag im Rahmen des Finance and Insurance Seminars statt. Das Seminar beginnt um 16:15 Uhr im Raum J 253, Universitätsstr. 14-16. Herr Prof. Dr. Olaf Korn (Georg-August-Universität Göttingen) spricht über das Thema "Stock Illiquidity and Option Returns".
Abstract: We provide evidence of a strong effect of the underlying stock’s illiquidity on option returns. Returns can be increasing or decreasing with stock illiquidity, depending on the magnitude of end user net demand. This return pattern is not explained by common risk factors. Simulation results show, however, that our results can be explained by the hedging costs of market makers who are net long in options on some underlyings and net short in options on other underlyings. Our empirical findings are robust with respect to the chosen illiquidity measure, the measure of end user net demand, and the return period.