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【信息通知】中山大学岭南学院院长助理刘彦初副教授学术讲座

2019-5-10 16:35:11

 

为了进一步营造科学研究范围,开拓国际学术视野,提升研究能力、学术水平和国际交流能力,大连海事大学综合交通运输协同创新中心于2019524邀请了中山大学岭南学院刘彦初副教授来我校做学术讲座。

讲座嘉宾:刘彦初 副教授院长助理

讲座时间:2019年5月24日 15:30 - 17:00

讲座地点:大连海事大学大学生活动中心308

讲座主题:Textual Sentiment, Option Information and Stock Return Predictability

专家简介:刘彦初博士现就职于中山大学岭南(大学)学院,担任院长助理,金融学副教授,(应用经济学)硕士生导师。香港中文大学金融工程学博士、博士后,中国科学技术大学理学硕士与理学学士。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(UTD24FT50期刊),《INFORMS Journal on Computing(UTD24期刊),《Journal of Economic Dynamics and Control》,《European Journal of Operational Research》,《Journal of Futures Markets》,《Insurance: Mathematics and Economics》,《European Journal of Finance》,《Finance Research Letters》等国内外主流学术期刊上发表(含接收)论文二十余篇。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。

 

AbstractA 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.