{"id":5815,"date":"2025-12-22T09:34:29","date_gmt":"2025-12-22T00:34:29","guid":{"rendered":"https:\/\/www.waseda.jp\/fcom\/riba\/?p=5815"},"modified":"2026-01-22T09:18:31","modified_gmt":"2026-01-22T00:18:31","slug":"2026%e5%b9%b41%e6%9c%8828%e6%97%a5%e6%b0%b4-%e3%81%ab%e7%94%a3%e7%a0%94%e8%ac%9b%e6%bc%94%e4%bc%9a%e3%80%8cwaseda-organizational-and-financial-economics-seminar-price-efficiency-of-equity-options","status":"publish","type":"post","link":"https:\/\/www.waseda.jp\/fcom\/riba\/news\/5815","title":{"rendered":"2026\u5e741\u670828\u65e5(\u6c34) \u306b\u7523\u7814\u8b1b\u6f14\u4f1a\u300cWaseda Organizational and Financial Economics Seminar : Price Efficiency of Equity Options Contracts\u300d\u304c\u958b\u50ac\u3055\u308c\u307e\u3059\u3002"},"content":{"rendered":"<h3 style=\"text-align: left;\">\u300cPrice Efficiency of Equity Options Contracts\u300d<\/h3>\n<div class=\"table-wrapper\"><table class=\"table table-colored-tbhd\" style=\"width: 100%; height: 298px;\" width=\"100%\">\n<tbody>\n<tr style=\"height: 24px;\">\n<th style=\"width: 19.397%; height: 24px;\" width=\"20%\">\u65e5\u6642<\/th>\n<td style=\"width: 80.163%; height: 24px;\">2026\u5e741\u670828\u65e5\uff08\u6c34\uff0913:10\uff5e14:50<\/td>\n<\/tr>\n<tr style=\"height: 24px;\">\n<th style=\"width: 19.397%; height: 24px;\" width=\"20%\">\u958b\u50ac\u65b9\u6cd5<\/th>\n<td style=\"width: 80.163%; height: 24px;\">\u2460\u5bfe\u9762 \uff0a11\u53f7\u99288\u968e802\u6559\u5ba4\u306b\u304a\u8d8a\u3057\u304f\u3060\u3055\u3044\u3002<br \/>\n\u2461Zoom\uff0a\u304a\u7533\u8fbc\u307f\u5b8c\u4e86\u306e\u81ea\u52d5\u8fd4\u4fe1\u30e1\u30fc\u30eb\u306b\u3066\u3001\u53c2\u52a0\u7528URL\u3092\u304a\u77e5\u3089\u305b\u3044\u305f\u3057\u307e\u3059\u3002<\/td>\n<\/tr>\n<tr style=\"height: 24px;\">\n<th style=\"width: 19.397%; height: 24px;\" width=\"20%\">\u5bfe\u8c61<\/th>\n<td style=\"width: 80.163%; height: 24px;\">\u5b66\u751f\u30fb\u6559\u8077\u54e1\u30fb\u4e00\u822c<\/td>\n<\/tr>\n<tr style=\"height: 24px;\">\n<th style=\"width: 19.397%; height: 24px;\" width=\"20%\">\u8b1b\u6f14\u8005<\/th>\n<td style=\"width: 80.163%; height: 24px;\">Lewen Guo \u6c0f<br \/>\n\uff08\u65e9\u7a32\u7530\u5927\u5b66\u3000\u5546\u5b66\u5b66\u8853\u9662\u3000\u8b1b\u5e2b\uff09<\/td>\n<\/tr>\n<tr>\n<th style=\"width: 19.397%;\">\u8981\u65e8<\/th>\n<td style=\"width: 80.163%;\">We develop regression-based measures to evaluate the price efficiency of equity options contracts. Using intraday minute-by-minute option quotes, we find price efficiency varies substantially across contracts and is lowest for in-the-money options with short time to maturity. Bid\u2013ask spreads and tick size affect the price efficiency of at-the-money and out-of-the-money options, while inefficiencies in in-the-money options are largely driven by delta mispricing. Put\u2013call parity holds less well for option pairs far from at-the-money, reflected by inefficiencies concentrated in the in-the-money option leg. Compared with simple variance-ratio tests, our proposed measures reduce false-positive diagnoses of price efficiency in option contracts.<\/td>\n<\/tr>\n<tr style=\"height: 24px;\">\n<th style=\"width: 19.397%; height: 24px;\">\u4e16\u8a71\u4eba<\/th>\n<td style=\"width: 80.163%; height: 24px;\">\u5bae\u5cf6 \u82f1\u662d\uff08\u65e9\u7a32\u7530\u5927\u5b66\u5546\u5b66\u5b66\u8853\u9662 \u6559\u6388\uff09<\/td>\n<\/tr>\n<tr style=\"height: 72px;\">\n<th style=\"width: 19.397%; height: 24px;\" width=\"20%\">\u53c2\u52a0\u7533\u3057\u8fbc\u307f\u65b9\u6cd5<\/th>\n<td style=\"width: 80.163%; height: 24px;\">\u53c2\u52a0\u306f<a href=\"https:\/\/my.waseda.jp\/application\/noauth\/application-detail-noauth?param=S_qJ1N_j0ECwzAiGX5MLhA\" target=\"_blank\" rel=\"noopener\">\u3053\u3061\u3089<\/a>\u304b\u3089\u304a\u7533\u8fbc\u307f\u304f\u3060\u3055\u3044\u3002\u203b1\u670826\u65e5\uff08\u6708\uff0917:00\u7de0\u5207<\/td>\n<\/tr>\n<tr style=\"height: 24px;\">\n<th style=\"width: 19.397%; height: 24px;\">\u5171\u50ac<\/th>\n<td style=\"width: 80.163%; height: 24px;\">\u65e9\u7a32\u7530\u5927\u5b66\u5546\u5b66\u90e8\u30fb\u7523\u696d\u7d4c\u55b6\u7814\u7a76\u6240\u30fb\u8c37\u5ddd\u5be7\u5f66\u5206\u79d1\u4f1a<\/td>\n<\/tr>\n<\/tbody>\n<\/table><\/div>\n<p>&nbsp;<\/p>\n","protected":false},"excerpt":{"rendered":"<p>\u300cPrice Efficiency of Equity Options Contracts\u300d \u65e5\u6642 2026\u5e741\u670828\u65e5\uff08\u6c34\uff0913:10\uff5e14:50 \u958b\u50ac\u65b9\u6cd5 \u2460\u5bfe\u9762 \uff0a11\u53f7\u99288\u968e802\u6559\u5ba4\u306b\u304a\u8d8a\u3057\u304f\u3060\u3055\u3044\u3002 \u2461Zoo [&hellip;]<\/p>\n","protected":false},"author":3,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"_acf_changed":false,"footnotes":""},"categories":[1],"tags":[24],"class_list":["post-5815","post","type-post","status-publish","format-standard","hentry","category-news","tag-events"],"acf":[],"_links":{"self":[{"href":"https:\/\/www.waseda.jp\/fcom\/riba\/wp-json\/wp\/v2\/posts\/5815","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/www.waseda.jp\/fcom\/riba\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/www.waseda.jp\/fcom\/riba\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/www.waseda.jp\/fcom\/riba\/wp-json\/wp\/v2\/users\/3"}],"replies":[{"embeddable":true,"href":"https:\/\/www.waseda.jp\/fcom\/riba\/wp-json\/wp\/v2\/comments?post=5815"}],"version-history":[{"count":1,"href":"https:\/\/www.waseda.jp\/fcom\/riba\/wp-json\/wp\/v2\/posts\/5815\/revisions"}],"predecessor-version":[{"id":5895,"href":"https:\/\/www.waseda.jp\/fcom\/riba\/wp-json\/wp\/v2\/posts\/5815\/revisions\/5895"}],"wp:attachment":[{"href":"https:\/\/www.waseda.jp\/fcom\/riba\/wp-json\/wp\/v2\/media?parent=5815"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/www.waseda.jp\/fcom\/riba\/wp-json\/wp\/v2\/categories?post=5815"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.waseda.jp\/fcom\/riba\/wp-json\/wp\/v2\/tags?post=5815"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}