Textual Sentiment, Option Implied Information and Equity Return Predictability
主讲人：刘彦初 副教授，中山大学岭南学院
主持人：杨翼 教授，浙江大学管理学院
时间：2018年11月19日（周一）上午9:00-11:00
地点：浙江大学紫金港校区行政楼1102会议室
摘要：
A growing literature shows a predictability of stock returns based on sentiment proxies. More recently, it has been shown that also variables implied from single stock options markets carry predictive content for future equity returns. Where does this predictability stem from? Is it firm-specific information advantage or is it a firm-specific sentiment that is implemented in terms of option-based strategies and thus leads to return predictability? In this work, we aim at answering this question. We distill sentiment from a huge bulk of NASDAQ news articles and examine the various sources of predictive power. We find that options markets react to sentiment from NASDAQ articles in that higher implied volatility, higher out-of-money put prices and stronger smirk can be observed as more negative articles being posted which constitutes more negative sentiment. Next we inspect return predictability. We find that options variables indeed predict stock returns, yet sentiment variables, in particular, our index sentiment remains a highly relevant factor for individual stock returns.
主讲人简介：
刘彦初现就职于中山大学岭南学院，担任金融学副教授，香港中文大学金融工程学博士。主要研究兴趣为金融工程，金融科技，金融计量经济学，以及相关应用。在《Operations Research》，《Energy Policy》等国内外主流学术期刊上发表论文近二十篇。相关研究曾获得2017年第九届中国决策科学学术年会优秀论文奖，第十四届金融系统工程与工程管理国际年会(FSERM2016)优秀论文奖，中山大学岭南学院董事会“杰出科研贡献奖”等奖项。
