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刘彦初老师学术讲座通知

来源:人事与师资办公室 作者: 发布时间:2019-12-27 16:13:00 点击数:

主讲人:刘彦初,中山大学岭南学院副教授,院长助理,金融学副教授,博士生导师。香港中文大学金融工程学博士、博士后,中国科学技术大学理学硕士与理学学士。主要研究兴趣为金融工程,金融科技,以及相关应用。在《管理科学学报》,《Operations Research(UTD24FT50期刊),《INFORMS Journal on Computing(UTD24期刊),《Journal of Economic Dynamics and Control》,《European Journal of Operational Research》,《Journal of Futures Markets》,《Insurance: Mathematics and Economics》,《European Journal of Finance》,《Annals of Operations Research》,《Finance Research Letters》等国内外主流学术期刊上发表(含接收)论文30余篇。主持国家自然科学基金,中山大学高校基本科研业务费青年教师重点培育项目等科研基金。担任中国运筹学会金融工程与金融风险管理分会常务理事。相关研究曾获得2017年第九届中国决策科学学术年会优秀论文奖,第十四届金融系统工程与工程管理国际年会(FSERM2016)优秀论文奖,岭南学院董事会杰出科研贡献奖等奖项。

讲座题目Textual Sentiment, Option Implied Information and Equity Return Predictability

讲座摘要A growing literature shows a predictability of stock returns based on sentiment proxies. More recently, it has been shown that also variables implied from single stock options markets carry predictive content for future equity returns. Where does this predictability stem from? Is it firm-specific information advantage or is it a firm-specific sentiment that is implemented in terms of option-based strategies and thus leads to return predictability? In this work, we aim at answering this question. We distill sentiment from a huge bulk of NASDAQ news articles and examine the various sources of predictive power. We find that options markets react to sentiment from NASDAQ articles in that higher implied volatility, higher out-of-money put prices and stronger smirk can be observed as more negative articles being posted which constitutes more negative sentiment. Next we inspect return predictability. We find that options variables indeed predict stock returns, yet sentiment variables, in particular, our index sentiment remains a highly relevant factor for individual stock returns. Firm specific-sentiment becomes weaker after controlling for information implied in options. The strength of predictions appears to subside from high to low attention firms, but still remains for low-attention firms. We conclude that the predictability of options markets cannot exclusively be attributed to information asymmetry but also to sentiment. We also construct residual-based trading strategies which yield remarkable annualized excess returns with very high Sharpe ratios. [This is a joint work with Cathy Chen (Humboldt-Universität zu Berlin, Germany), Matthias Fengler (University of St.Gallen, Switzerland) and Wolfgang Hardle (Humboldt-Universität zu Berlin, Germany).]

时间:2019年12月31日 下午14:30-16:30

地点:管楼216会议室