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讲座:Rare Large Jumps vs. Frequent Small Jumps: The Information Content Implicit in Options

发布者:人力资源办公室    发布时间:2017-12-08

金融学系列学术讲座

题  目:Rare Large Jumps vs. Frequent Small Jumps: The Information Content Implicit in Options

演讲人:Qiang Chen, Associate Professor,

School of Economics, Shanghai University of Finance and Economics

主持人:李楠 副教授  上海交通大学安泰经济与管理学院金融系

时  间:2017年12月13日 14:30-16:00

地  点:上海交通大学 徐汇校区安泰楼B1516

 

演讲内容简介

In this paper, we derive jump risk measures based on a general asset return model with double-exponential jumps. We further propose a model-free procedure to recover the jump risk from options data. The approach allows us to extract jump risk characteristics separately on the positive side and negative side. Using data on S&P 500 index and its options, we examine the information content of jump risk measures, with a focus on rare large jumps versus frequent small jumps. Our results reveal one important character of jumps during financial crisis, namely the large jump size usually occurs with low jump intensity. In addition, most of the implied jump risk measures contain important information about future returns. Specifically, both jump size and jump variation have significant predictive power of S&P 500 index returns, with downside jump risk demanding a significant high premiums. Finally, our results show opposite effects of rare large jumps and frequent small jumps in predicting future returns. Interestingly, investors react rationally to frequent small jumps, while there is evidence of overreaction to rare large jumps.

 

演讲人简介:

陈强博士,上海财经大学经济学院副教授。2014年毕业于上海交通大学安泰经济与管理学院金融学专业,获经济学博士学位,同年起任教于上海财经大学经济学院。2016-2017年赴美国华盛顿州立大学商学院访问。主要研究方向与兴趣包括:金融计量、金融工程、金融市场和宏观金融。在《Journal of Econometrics》、《Econometric Reviews》、《Economic Modelling》、《China Finance Review International》、《管理科学学报》、《经济学季刊》、《财经研究》、《统计研究》、《国际金融研究》、《系统工程理论与实践》等国内外刊物发表论文十多篇。主持国家自然科学基金青年科学基金项目1项。担任《Journal of Econometrics》、《Journal of Financial Econometrics》、《China Finance Review International》、《经济学季刊》、《财经研究》、《投资研究》等期刊审稿人。