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LTI@Unito
and Fondazione
Collegio Carlo
Alberto are
pleased to
invite you to
the following
webinars
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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)
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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:
Meeting
ID: 832 9075
4621 Passcode:
359187
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July 1, 2021 | 12:00 - 13:00
“Option-Implied
Dependence and
Correlation
Risk Premium”
Carole
Bernard
(Grenoble
Ecole de
Management)
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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:
Meeting
ID: 812 8891
5014 Passcode:
967992
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INFORMATION
UNDER THE NEW GENERAL
DATA PROTECTION
REGULATION (GDPR)
Your personal
information has been
gathered for the exclusive
purpose of informing you
about the Collegio's
initiatives, considering
our and your legitimate
interest or your consent.
If you wish to have your
personal data modified
please contact Fondazione
Collegio Carlo Alberto,
piazza Arbarello 8, 1022
Torino, Italy - phone:
+390116705000 -
privacy@carloalberto.org
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© 2021 Fondazione
Collegio Carlo Alberto
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