報告題目：Do Different Measures of Stock Market Volatility Risks Have the Same Price?
時間： 2023年10月26日星期四，上午10:00-11:30澳洲13:00-14:30
ZOOM會議鏈接:https://uni-sydney.zoom.us/j/83624506771
報告人：悉尼大學 GuanglianHu 助理教授
報告人簡介：
Guanglian Hu is a Senior Lecturer at the University of Sydney Business School. His research focuses on asset pricing and derivatives. Topics include determinants of expected option returns, variance risk premium, VIX derivatives, consumption-based asset pricing, and stochastic discount factor. He has published his research in leading academic journals such as Journal of Financial and Quantitative Analysis and Review of Asset Pricing Studies.Before joining the University of Sydney, Hu worked as a Visiting Assistant Professor of Finance at ITAM and Pacific Lutheran University, where he taught courses in the undergraduate and graduate programs. He received his B.S. in Economics from Xiamen University in 2009, his M.A. in Economics from the University of California at Santa Barbara in 2010 and his Ph.D. in Finance from the University of Houston in 2017.
報告內容簡介：
Common measures of aggregate stock market volatility are priced differently in the cross section of stock returns. Stocks with high sensitivities to changes in realized and expected volatilities have significantly low average returns, while option implied volatility is not priced.
The differential pricing of market volatility risks is hard to reconcile with existing theories, but potentially consistent with partial segmentation between index options and equity markets. I argue the comovementbetween option implied and actual stock volatilities contains valuable information about time varying segmentation between equity and options markets. The two markets appear to have become more integrated in recent years.
（承辦：國際貿(mào)易與金融系、科研與學術交流中心）
