主 题：Consumption Risk and the Cross-Section of Option Returns
时 间：2019年4月16日（周二）10:00-11:30
地 点：浙江大学玉泉校区经济学院236会议室
主讲人：Hening Liu 英国曼彻斯特大学金融学教授
主持人：骆兴国 浙江大学经济学院副教授
主办方：浙江大学工程师学院互联网金融分院
浙江大学经济学院
协办方：浙江大学资产管理研究中心
浙江大学金融研究院
主讲人简介：
刘赫宁，英国曼彻斯特大学金融学教授，经济学博士。本科就读于暨南大学经济学院，在美国北伊利诺伊大学获得博士学位。主要研究领域为资产定价、宏观金融，投资组合等。先后在金融学顶级期刊Journal of Monetary Economics, Review of Financial Studies, Journal of Financial and Quantitative Analysis等发表论文十余篇，同时也是American Economic Review, Journal of Political Economy, Review of Financial Studies, Journal of Financial and Quantitative Analysis, Management Science等多种国际顶级期刊的审稿人。
Abstract:
We study whether consumption growth and its conditional moments affect option returns. We show that consumption growth, expected consumption growth, and consumption volatility are all significantly priced in portfolios of option returns. Consumption growth and expected consumption growth both command a positive risk premium, whereas consumption volatility commands a negative risk premium. In a representative-agent economy with Epstein-Zin's recursive preferences, our empirical findings provide support for a preference for early resolution of uncertainty and long-run risk based explanation for option returns.
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