How do Investors Trade Option Anomalies?
Biography
Chardin's main research interests include asset pricing, commodity markets, derivatives, and financial econometrics.
He holds:
- a BSc (1st class) from the University of Wales
- an MSc (with Distinction) in International Securities, Investment and Banking
- a PhD in Finance (no correction) from the ICMA Centre at the University of Reading
He has published his research in world-leading journals, including:
- the Journal of Econometrics
- the Journal of Financial and Quantitative Analysis
- Management Science
- the Journal of Money, Credit and Banking
His research has attracted awards and funding from national and international institutions, including the British Academy.
Chardin has delivered keynote speeches at national and international academic events. He has presented his research at several UK and international universities, as well as leading academic conferences. Examples include meetings of the American Finance Association (AFA) and the Western Finance Association (WFA).
He is a member of the editorial boards of:
- the Commodity Insights Digest
- the European Journal of Finance
- the Journal of Commodity markets
He is a regular reviewer for leading journals, including:
- the Journal of Business Economics and Statistics
- the Journal of Financial and Quantitative Analysis
- Management Science
Chardin designed and successfully launched the BSc Finance and Data Analytics.
In his role as Director of Studies, he interacts with stakeholders at all levels. He plays a key role in the strategic oversight and direction of the programme. He ensures that teaching and learning methods across the programme progressively support the achievement of the programme learning outcomes. He has designed and delivered courses for both taught (BSc, MSc, and PhD) and executive education programmes. Chardin has received several prizes for his contribution to teaching and learning. He is currently the external examiner for:
- MBA and Executive MBA programmes at Cranfield School of Management
- postgraduate finance programmes at the University of East Anglia and the University of Newcastle
Chardin regularly examines doctoral theses at UK and international institutions, e.g. ESSEC Business School. He has supervised several successful PhD students, who are now working in both academia and the private sector. He welcomes enquiries from students interested in pursuing doctoral research in his areas of expertise.
Abstract
We examine the positioning of different types of traders in option markets. Anomaly demand varies widely across variables and between call and put options. End users mainly seek outright rather than delta-hedged option exposure. However, retail investors and other customers are mostly on the wrong side of anomalies both based on outright and delta-hedged returns. Market makers are the main beneficiaries. Preferred habitats explain part of the anomaly exposures. End-user demand is a likely driver of several anomalies. Demand acts as a conduit for the return effect of fundamental and anomaly variables; however, firm put demand predicts returns beyond the characteristics.