我院李心丹教授团队论文被国际顶级金融学期刊JFE录用

发稿时间:2017-05-19浏览次数:13

   


    近日,我院李心丹教授、杨学伟副教授与美国加州大学(UCLA)Anderson管理学院Avanidhar Subrahmanyam教授合作撰写的论文“Can financial innovation succeed by catering to behavioral preferences? Evidence from a callable options market”被国际顶级金融学期刊Journal of Financial Economics (JFE)录用(JFE待发表论文列表请见:http://jfe.rochester.edu/astat.pdf)。Journal of Financial Economics是国际公认的经济管理类顶级期刊,与JF和RFS并称三大顶级金融学期刊。


图1:发行商总销售收入(单位:十亿港币)与“标的资产和赎回水平之间的距离”的关系


    论文运用行为金融学理论给出了可赎回期权(香港牛熊证)受到投资者欢迎的主要原因——赌博偏好。当牛熊证接近被赎回时,其预期收益率有极高的正偏度,因此对具有CPT(累积前景理论)偏好的投资者有很强的吸引力。研究发现,投资者倾向于在产品接近被赎回时买入该产品,发行商因此获得了丰厚的利润(图1)。同时,随着时间的推移,发行商不断调整产品的合同条款,发行更多的高偏度产品,以迎合CPT投资者的偏好(图2)。该成果突出了行为金融学在现代金融产品创新中的重要作用,同时验证了2013年诺贝尔经济科学奖评奖委员会的如下论断:

“... investors are not fully rational ... This opens up the possibility, however, for rational investors to take advantage of arbitrage opportunities created by the misperceptions of irrational investors.”


图2:产品上市日“标的资产和赎回水平之间的距离”以及产品“行权价格和赎回水平之间的距离”随时间的变化情况


论文摘要:We examine the notion that financial products, which cater to investors’ behavioral biases, can attain popularity and yield substantial profits for issuers. Our setting considers options with a callback feature, namely, callable bull/bear contracts (CBBCs). These contracts have high skewness when close to callback and thus appeal to cumulative prospect theory preferences. CBBCs with high skewness earn negative average returns, and issuer profits vary positively with CBBC skewness. Over the 2009-2014 period, issuers earn (investors lose) the equivalent of $1.66 billion by trading CBBCs on the Hang Seng index. These findings highlight the role of behavioral finance in financial innovation.


全文链接:https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2382611



 (文/杨学伟)