主  讲  人：中南财经政法大学    孙宪明副教授

报告时间：2023年4月26日（星期三）上午10:30--11:30

报告地点：https://meeting.tencent.com/dm/EqY3J9dLAAys

 

报告摘要：We propose an option-implied ambiguity measure to capture uncertainty about the return distribution of a risky asset underlying a set of options, and investigate its predictive power for the asset return. A representative investor's ambiguous beliefs or prior distributions on the underlying asset returns are extracted from the market prices of options with a model-guided approach. The option-implied ambiguity, the expected volatility of these prior distributions, is then calculated in line with Brenner & Izhakian (2018). The proposed measure could distinguish the degree of the distribution uncertainty from an investor' attitude toward ambiguity. Such property allows us to empirically investigate how ambiguous return and investors' attitude jointly affect the risky asset price. Consistent with the behavioral research on the state-dependent attitude toward ambiguity, our results with SSE 50 ETF options show that investors can be ambiguity-seeking when experiencing unfavorable returns, and vice versa. Moreover, the out-of-sample tests verify that the option-implied ambiguity has the predictive power for the future returns of the underlying asset.

 

主讲人简介：

孙宪明，理学双博士，中南财经政法大学副教授，硕士研究生导师，现任数字技术与现代金融学科创新引智基地执行副主任。获评湖北省“楚天学子”，中南财经政法大学“文澜青年学者”，主要研究兴趣有金融工程、金融科技及其相关领域。在Journal of Economic Dynamics and Control，Journal of Futures Markets，Energy Economics, Journal of Computational and Applied Mathematics等重要学术期刊发表论文10余篇。目前主持国家自然科学基金、中央高校基本科研业务经费项目等科研项目。相关研究曾获第十六届中国金融工程学年会优秀论文奖（2017）。