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.
