时 间：2025年6月10日 10:00-11:00
地 点：普陀校区理科大楼A1314
报告人：汪先珍 上海纽约大学波动研究所研究员
摘 要：We develop a novel approach to directly recovering the aggregated investor attention and relative risk aversion (RRA) from European option prices. Using China 50ETF options data, we find that (1) the proposed option-implied attention (OIA) index is correlated with but more informative than existing market-wide attention proxies; (2) a quadratic increasing/decreasing relationship lies between OIA/RRA and volatility risk premium. Consistent with model predictions, we also find that (3) as OIA grows, the equity risk premium will drop, and the market will witness more extreme returns.
报告人简介：
复旦大学管理学博士，现为上海纽约大学波动研究所研究员，主要研究领域包括金融市场、气候金融和公司金融等。已有论文发表于《Journal of Banking and Finance》,《金融研究》和《系统工程理论与实践》等。