第一百七十九期财务与会计学术论坛

信息来源: 发布时间:2014年10月11日

题目:Investor sentiment and value and growth stock index options

时间:2013年6月14日(周五)15:00-16:30

地点:嘉庚二号楼501教室

报告人:Xiaoquan Liu, Senior Lecturer in Finance, University of Essex, UK

报告简介:

The paper examines the relationship between both individual and institutional investor sentiment measures and the risk-neutral skewness of seven stock index options comprised of either growth or value stocks. It provides novel evidence that growth index option prices are affected by sentiment measures. The regression results indicate a significantly positive relationship between sentiment measures and the risk-neutral skewness estimated from four growth index options and a negative relationship with two value index options. The results are economically significant since an associated long-short trading strategy yields high abnormal returns with a Sharpe ratio of up to 1.1 and zero exposure to systematic risk. These high abnormal returns provide evidence of a value premium type anomaly in the index options markets. Keywords: Risk-neutral skewness; Growth options; Option market anomalies

报告人简介:
Xiaoquan Liu is a senior lecturer of finance at Unviersity of Essex. She got BA in International Business from Guangdong University of Foreign Studies and MSc and PhD in finance from Lancaster University in UKHer research interests include asset pricing, derivatives and financial econometrics. She’s published papers in journals like Journal of Banking & Finance and Applied Economics.