“大金融学科学术研究沙龙”第77期:Option Return Predictability 

(Released in:2016-06-17 )

主题:Option Return Predictability

主讲人:多伦多大学 韩冰教授

主持人:金融学院 李四光博士

时间:620日(星期一)下午14:00-16:00

地点:格致楼317会议室

主办单位:金融学院、科研处

主讲人简介:

多伦多大学罗特曼管理学院金融学教授。韩冰教授的主要研究领域是投资和行为金融学。他的论文发表在顶级金融学,经济学和管理学杂志上,包括Journal of Finance, Journal of Financial Economics, Review of Financial Studies, Review of Economic Studies, Journal of Financial and Quantitative Analysis, Management Science, Journal of Economic Theory,和以实践为导向的期刊,如Journal of Investment Management, Journal of Portfolio Management等。他的研究成果已发表在许多国际、全国性会议,受到《纽约时报》、《华尔街日报》等媒体的专访。韩冰教授现为美国金融学会、西方金融学会、美国经济学会、欧洲金融学会的成员。由于其杰出贡献,韩冰教授获得了众多国际知名奖项: GARP Risk Management Research Program Award(2013), American Association of Individual Investors award for outstanding paper in asset pricing research(2013), CBA Foundation Advisory Council Fellowship, University of Texas(2011-2013)。他曾就职于摩根大通等著名公司。

内容提要:

The cross-section of delta-hedged equity option returns can be predicted by a variety of underlying stock characteristics and firm fundamentals including idiosyncratic volatility, past stock returns, profitability, cash holding, new share issuance, and dispersion of analyst forecasts, although they do not significantly predict stock returns in our sample. We document new option portfolio strategies that are profitable even after transaction costs. These profits are robust and cannot be explained by common risk factors. The systematic patterns in the relative valuation of options and the underlying stocks we uncover have important implications for option pricing models and option market efficiency.