嘉賓簡介：肖曉，倫敦城市大學(xué)貝葉斯商學(xué)院金融系副教授。2017年畢業(yè)于荷蘭伊拉斯姆斯大學(xué)，獲金融學(xué)博士學(xué)位。主要研究領(lǐng)域?yàn)榻鹑诮?jīng)濟(jì)學(xué)，實(shí)證資產(chǎn)定價(jià)和金融衍生品，曾多次獲得加拿大Canadian Derivatives Institute研究資金支持。論文主要發(fā)表于Journal of Financial Economics, Journal of Financial and Quantitative Analysis, and Management Science等金融和管理頂級期刊。

講座摘要：This paper examines how options traders trade daily stock market mispricing measured by short-term past return and put-call option volatility spread. Anomaly return is 7.31 basis points per day when customer option traders trade along with the anomaly signal and is insignificant when they trade against it. This effect is more pronounced for out-of-money options. We show that the delta-hedging activities by option market makers and copycat trades by other institutional investors associated with customer options trades help the correction of mispricing.