文字
缩放
增大字体
减小字体
中山大学 刘彦初副教授:Textual Sentiment, Option Implied Information and Equity Return Predictability

([西财资讯] 发布于 :2018-05-13 )

光华讲坛——社会名流与企业家论坛第4936

 

主题Textual Sentiment, Option Implied Information and Equity Return Predictability

主讲人中山大学 刘彦初副教授

主持人工商管理学院 徐亮教授

时间2018516日(周10:00

地点利记娱乐网柳林校区通博楼A209会议室

主办单位:工商管理学院 科研处

 

主讲人概况:

刘彦初,男,四川眉山人。现就职于中山大学岭南(大学)学院,担任金融学教授,(应用经济学)硕士生导师。香港中文大学金融工程学博士,中国科学技术大学理学硕士与理学学士。持有金融风险管理师(Financial Risk Manager)证书。主要研究兴趣为金融工程,金融科技,金融计量经济学,以及相关应用。在《管理科学学报》《Operations Research》《Journal of Economic Dynamics and Control》《European Journal of Operational Research》《Journal of Futures MarketsEnergy PolicyFinance Research LettersApplied Energy》《Technological Forecasting and Social Change》《Journal of Management Science and Engineering等国内外主流学术期刊上发表论文十余篇。目前主持国家自然科学基金青年项目,以及中央高校基本科研业务费项目等科研基金。相关研究曾获得2017年第九届中国决策科学学术年会优秀论文奖,第十四届金融系统工程与工程管理国际年会(FSERM2016)优秀论文奖,岭南学院董事会杰出科研贡献奖等奖项

内容提要:

A growing literature shows a predictability of stock returns based on sentiment proxies. More recently, it has been shown that also variables implied from single stock options markets carry predictive content for future equity returns. Where does this predictability stem from? Is it firm-specific information advantage or is it a firm-specific sentiment that is implemented in terms of option-based strategies and thus leads to return predictability? In this work, we aim at answering this question. We distill sentiment from a huge bulk of NASDAQ news articles and examine the various sources of predictive power. We find that options markets react to sentiment from NASDAQ articles in that higher implied volatility, higher out-of-money put prices and stronger smirk can be observed as more negative articles being posted which constitutes more negative sentiment. Next we inspect return predictability. We find that options variables indeed predict stock returns, yet sentiment variables; in particular, our index sentiment remains a highly relevant factor for individual stock returns. Firm specific-sentiment becomes weaker after controlling for information implied in options. The strength of predictions appears to subside from high to low attention firms, but still remains for low-attention firms. We conclude that the predictability of options markets cannot exclusively be attributed to information asymmetry but also to sentiment. We also construct residual-based trading strategies which yield remarkable annualized excess returns with very high Sharpe ratios.

 


☆该资讯已被浏览: 次★

打印本文】 【关闭窗口



XML 地图 | Sitemap 地图