基地执行副主任孙宪明副教授参与合作论文“Option-implied Ambiguity and Equity Return Predictablility”在国际知名期刊Journal of Futures Markets在线发表。该论文合作者包括刘彦初教授（中山大学）、刘琛博士（中山大学）和陈一瑶博士（中央财经大学）。Journal of Futures Markets期刊主要探讨金融期货和衍生品的最新发现，其涵盖的范围包含期货、衍生品、风险管理和控制、金融工程、新金融工具和对冲策略等。

摘要：We propose a model-guided option-implied ambiguity measure to capture uncertainty regarding the return distribution of a risky asset underlying a set of options, and investigate its predictive power on the asset return. A representative investor's ambiguous beliefs or prior distributions on the underlying asset returns are extracted from the market prices of options, the expected volatility of which is then defined as the option-implied ambiguity and is calculated in line with Brenner and Izhakian. Simulated paths of the calibrated models are utilized to compute all pertinent probability characteristics from a forward-looking perspective. The empirical results with SSE 50 ETF options indicate that the proposed option-implied ambiguity has strong predictive power for future returns of SSE 50 ETF. Out-of-sample tests also verify the significant predictive ability of the option-implied ambiguity to the equity returns.

关键词：ambiguity; derivatives; option‐implied information; return predictability

链接：https://onlinelibrary.wiley.com/doi/10.1002/fut.22530

作者简介

孙宪明，中南财经政法大学金融工程系副教授，数字技术与现代金融学科创新引智基地执行副主任。研究方向为金融工程、金融科技及其相关领域，研究成果发表在Journal of Economic Dynamics and Control,  Journal of Futures Markets，Energy Economics, Journal of Computational and Applied Mathematics等期刊，荣获中南财经政法大学“文澜青年学者”。主持国家自然科学基金2项、中央高校基本科研业务经费项目等科研项目。相关研究曾获第十六届中国金融工程学年会优秀论文奖（2017）。