“大金融学科学术研究沙龙”第80期:The Peso Problem: Evidence from the S&P 500 Options Market 

(Released in:2016-09-08 )

主题:The Peso Problem: Evidence from the S&P 500 Options Market

主讲人:张处 香港科技大学金融学教授

主持人:金融学院 冯旭南 副教授

时间:914日(星期三)上午9:30-12:00

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:

Ph.D (finance), 1992, University of Chicago, Chicago, U.S.A. full professor (2010-present) School of Business and Management, The Hong Kong University of Science and Technology. Global Chinese Real Estate Congress (GCREC) 2013 Conference, Third prize for best papers(with H. Wang and W. Dai).China International Conference in Finance 2006 Best Paper Award, (with L. Fan).Financial Management Association Competitive Paper Award, 1996 (with J. He and L. Ng).

内容提要:

The concern about possible market crashes has important consequence on asset pricing.Such tail events in a given sample period may not realize, driving a wedge between the ex-ante downside risk perceived by investors and the ex-post realized losses during the given sample. This Peso problem has been proposed to explain the equity premium puzzle, but its existence has not been rigorously veryfied. We propose a methodology to examine the existence and to measure the extent of the Peso problem by using information from both asset returns and prices of options written on the asset jointly. The methodology features conditional time-varying Peso problem measures estimated nonparametrically. Applying the methodology to the S&P 500 Index over the period from 1996 to 2013, we find supportive evidence of the existence of Peso problem and document pro-cyclical dynamics of the Peso problem measure.