【主 题】 Option-Based Tail Risk Measures and Return Predictability in Global Equity Markets

【报告人】 Torben Gustav Andersen, 教授

Kellogg School of Management, Northwestern University

【时 间】 2019年8月19日（星期一）14:30-15:15

【地 点】 上海财经大学统计与管理学院大楼1208会议室

【摘 要】We explore the pricing of tail risk as manifest in index options across international equity markets. The risk premium associated with negative tail events displays persistent shifts, unrelated to volatility. This tail risk premium is a potent predictor of future equity returns, while option-implied volatility only forecasts the future return variation. Hence, compensation for negative jump risk is the primary driver of the equity premium across all indices, whereas the reward for pure diffusive variance risk is largely unrelated to future equity returns. We also document pronounced commonalities, suggesting a high degree of integration among the major global equity markets..

【嘉宾简介】Torben G. Andersen is the Nathan S. and Mary P. Sharp Professor of Finance. He joined the faculty in 1991 and is a Faculty Research Associate of the National Bureau of Economic Research (NBER) and an International Fellow of the Center for Research in Econometric Analysis of Economic Time Series (CREATES) in Aarhus, Denmark. In addition, Professor Andersen was elected Fellow of the Econometric Society in 2008, and Fellow of the Society for Financial Econometrics, SoFiE, in 2013, and Fellow of the Society for Economic Measurement (SEM) in 2018. He served as Chair of the Finance Department for the period 2015-2017.

Professor Andersen has published widely in asset pricing, empirical finance, and empirical market microstructure. His work centers on the modeling of volatility fluctuations in financial returns with applications to asset and derivatives pricing, portfolio selection, and the term structure of interest rates. His current work explores the use of large sets of high-frequency data for volatility forecasting, portfolio choice and risk management. He has received grants from the National Science Foundation, the Sloan Foundation, and the Institute for Quantitative Research in Finance (the Q-Group). He served as the editor-in-chief for the Journal of Business and Economic Statistics in 2004-2006, Co-Editor for the Journal of Financial Econometrics, 2009-2014, and has served on the editorial board of leading journals, including the Journal of Finance, Review of Financial Studies, Econometric Theory, and Management Science.

Professor Andersen has consulted for the Brattle Group, trading firms, the Federal Reserve Board of Governors, regional Federal Reserve Banks, foreign Central Banks, and universities. He received his PhD in Economics from Yale University

【主持人】张志远