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4月6日,杨学伟(南京大学)
发布时间:2017-03-29   发布人:zs   点击数:946

报告人:杨学伟,南京大学

时间:4月6日,周四上午9:30—11:00

地点:博学楼1222教室

题目:Can Financial Innovation Succeed by Catering to Behavioral Preferences? Evidence from a Callable Options Market

摘要:We examine the notion that financial products which cater to investors' behavioral biases can attain popularity and yield substantial profits for issuers. Our setting considers options with a callback feature, namely, callable bull/bear contracts (CBBCs). These contracts have high skewness when close to callback and thus appeal to cumulative prospect theory preferences. CBBCs with high skewness earn negative average returns, and issuer profits vary positively with CBBC skewness. Over the 2009-2014 period, issuers earn (investors lose) the equivalent of $1.66 billion by trading CBBCs on the Hang Seng index. These findings highlight the role of behavioral finance in financial innovation.

报告人简介:杨学伟,南京大学工程管理学院副教授,南开大学理学博士,伊利诺伊大学(UIUC)联合培养博士,香港城市大学经济与金融系博士后,加州大学 Anderson 管理学院和香港科技大学工业工程与物流管理系访问学者,从事金融衍生品定价、行为金融与信用风险的研究。在 Mathematical Finance 和 Quantitative Finance 等国际期刊发表论文20余篇;多篇论文入选 AFA 2017, WFA 2016, The 5th Miami Behavioral Finance Conference, CICF 2014 和 EFMA 2014。关于主权信用风险的研究成果(合作者 Haitao Li 和 Tao Li)获得“2014 GARP Risk Management Research Award”。

 

 

 

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