{"id":143729,"date":"2023-05-05T11:44:52","date_gmt":"2023-05-05T09:44:52","guid":{"rendered":"https:\/\/www.ieseg.fr\/?post_type=events&p=143729"},"modified":"2023-05-05T11:44:52","modified_gmt":"2023-05-05T09:44:52","slug":"research-seminar-finance-wese-simen","status":"publish","type":"events","link":"https:\/\/www.ieseg.fr\/en\/events\/research-seminar-finance-wese-simen\/","title":{"rendered":"[Research Seminar] Finance: “The index effect: Evidence from the Option Market” C. WESE SIMEN – University of Liverpool"},"content":{"rendered":"

\"\"<\/p>\n

Speaker: Chardin WESE SIMEN
\n<\/strong>University of Liverpool<\/i><\/p>\n

Date and Location – Thursday May 11th 2023 from 12:00 to 13:3<\/strong>0\u00a0on Zoom<\/strong><\/p>\n

—————————————–<\/p>\n

ABSTRACT<\/h2>\n

\"\"Equity options react significantly to S&P 500 index inclusions news. We document a significant and temporary increase in call option trading volume shortly after the news. On a placebo- and risk-adjusted basis, the 1-day response of the delta-hedged call options is positive (0.90%) and significant. Revisions in the implied volatility account for 42% of this effect. The announcement response is stronger for options that provide more leverage and reverses over time. The delta-hedged put options react in a similar manner. Our results are consistent with a demand-based option pricing theory.<\/p>\n

More<\/strong> Info<\/a><\/div>\n","protected":false},"excerpt":{"rendered":"

Speaker: Chardin WESE SIMEN University of Liverpool Date and Location – Thursday May 11th 2023 from 12:00 to 13:30\u00a0on Zoom —————————————– ABSTRACT Equity options react significantly to S&P 500 index […]<\/p>\n","protected":false},"featured_media":0,"template":"","events-category":[247,66,166],"class_list":["post-143729","events","type-events","status-publish","hentry","events-category-department-finance","events-category-research","events-category-research-seminars-en"],"acf":[],"yoast_head":"\n[Research Seminar] Finance: "The index effect: Evidence from the Option Market" C. 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