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学术讲座:Information Content of Aggregate Implied Volatility Spread

金融学院SBF论坛2019年第22讲

讲座题目:Information Content of Aggregate Implied Volatility Spread

时间:7月16日(周二) 10:30-11:30

地点:博学楼925

主讲人:韩冰

主讲人简介:

韩冰教授现任多伦多大学罗特曼管理学院金融学教授。韩教授在加利福尼亚大学洛杉矶分校和芝加哥大学分别取得金融学博士学位(2002)和数学博士学位(1997)。韩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 Economic Theory,Journal of Financial and Quantitative Analysis,Management Science,Review of Finance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。由于其杰出贡献,韩教授获得了众多国际知名奖项和学术奖金。现任Financial Management,Journal of Economic Dynamics and Control,Journal of Empirical Finance,International Review of Finance和Pacific-Basin Finance Journal主编和副主编。

讲座内容简介:

Abstract:Aggregate implied volatility spread (IVS), defined as the cross-sectional average difference in the implied volatilities of at-the-money call and put equity options, is significantly and positively related to future stock market returns at daily, weekly, monthly, to semiannual horizons. This return predictive power is incremental to existing return predictors and is significant both in sample and out of sample. Furthermore, IVS can forecast macroeconomic news up to one year ahead. The return predictability concentrates around macro news announcement. Common informed trading in equity options offers an integrated explanation for the ability of IVS to predict both future stock market returns and real economic activity.