Dear colleagues,
I am happy to forward you the following announcements of two seminars in Quantitative Finance organized by LTI@UniTO and Collegio Carlo Alberto:
* Matthijs Breugem (CCA) on Tuesday, June 29th: "On the impact of Long Term Investors on Information Choice and Market Efficiency"
* Carole Bernard (Grenoble Ecole de Management) on Thursday July 1st: "Option-implied dependence and correlation risk premium".
Please find below the abstract and the zoom links.
Best regards,
Luca Regis
<#> LTI@Unito and Fondazione Collegio Carlo Alberto are pleased to invite you to the following webinars
<#> *June 29, 2021 | 12:00 - 13:00* *“On The Impact of Long Term Investors on Information Choice and Market Efficiency”* *Matthijs Breugem (Collegio Carlo Alberto)*
<#> *Abstract* We analyze the impact of investor investment horizon on information acquisition and market efficiency in an REE economy with short-term and long-term investors. We find that the presence of long-term investors increases the willingness of short-term investors to acquire long-term information. Specifically, short-term investors care about long-term information to the extent that future prices—at which they liquidate their investments—reflect long-term payoffs. Long-term investors acquire long-term information and therefore increase the price-informativeness of future prices. Therefore, the larger the fraction of long-term investors, the more long-term payoffs are reflected into future prices, and the more long-term information is acquired by short-term investors. *Zoom Link:* *https://us02web.zoom.us/j/83290754621?pwd=Q3NoaWlIdXpnSkovdjlRTXE1OE5jdz09 https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/PA1lvCniowZZn-8vKUfINTd51_6qus8e1kBzJLzjvE-HX_WVCOZLD7_3Emesx2H8NbVx96fmSb4lxbSyB3ketIZqyfrp-f8yMYl-IsWDgl8KCb4qj9ha0tHDbKst5nAlr412eN5yXd9yqZSA7_Im7MayeLJDrwkEhlvA6E-N_qrdsv_6HDsKqNdmy8AZ-c1N_DG8UGIqu5Yo4gGjrX4lbzKTqg0LHiJa0ypojwSrQkg0Hin4Xf_k* Meeting ID: 832 9075 4621 Passcode: 359187
<#> *July 1, 2021 | 12:00 - 13:00* *“Option-Implied Dependence and Correlation Risk Premium”* *Carole Bernard (Grenoble Ecole de Management)*
<#> *Abstract* We propose a novel model-free approach to obtain the joint risk-neutral distribution among several assets that is consistent with market prices of options on these assets and their weighted index. In an empirical application, we use options on the S&P 500 index and its nine industry sectors. The results of our analysis reveal that the option-implied dependence for the nine sectors is highly nonnormal, asymmetric, and time-varying. We then study two conditional correlations: when the market moves down or up. The risk premium for the down correlation is strongly negative, while the opposite is true for the up correlation. These findings are consistent with the economic intuition that investors dislike the loss of diversification when markets fall, but they actually prefer high correlation when markets rally. *Zoom link: * *https://us02web.zoom.us/j/81288915014?pwd=YjEzZVpIcG9XV0dIQ0VIT3U1MlNvQT09* https://4z5y5.r.a.d.sendibm1.com/mk/cl/f/UPvaJBcnB9yu8Re-TR7dBnNYNJyWPZXbUf2BPg0VMgrP38vnfjw8NzQAX8DYlMmq5pZXWaDnLLo3x1YikhLheAI_KPfHTSEy3OJ296UYMUKekICeO1Uw00Pjr3uoin0rP0WlgxsfzVWvd3spkYO89Ue3f09_CcVmx2a6hG-hKvkjsZpyMW-Y7tjiCvraxktXVR06OQxUEdjHModMJ14dDQPo0llzxECREeJ1Q8Trpbz9OZdaNFzU Meeting ID: 812 8891 5014 Passcode: 967992
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