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圣路易斯华盛顿大学Olin商学院Xiaoxiao Tang博士
2016-10-11 14:35
金融研究院2015暑期国际学术研讨会之十
主题:A Bound on Expected Stock Returns
主讲人:圣路易斯华盛顿大学Olin商学院 Xiaoxiao Tang博士
时间:2015年7月28日(星期二)下午1:30-3:00
地点:金融研究院202会议室(光华校区北三门篮球场旁)
主办单位:金融研究院、科研处
主讲人简介:
Xiaoxiao Tang目前是圣路易斯华盛顿大学Olin商学院在读博士。
论文摘要:
We present a sufficient condition under which the prices of options with different strike prices written on a particular stock can be used to calculate a lower bound on the expected stock returns. The sufficient condition imposes a restriction on a combination of the stock"s systematic and idiosyncratic risk. The lower bound is forward-looking and can be calculated on a daily (and even intra-daily) basis for stocks with liquid option trading. We estimate the lower bound empirically for constituents of the S&P 500 index and study its cross-sectional properties. We find that the bound increases with beta and book-to-market and decreases with size and momentum. The bound also provides a noisy signal on future realized stock returns.
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