财务金融系系列讲座之191期

 

时间:2016年6月28日(周二)13:30         

地点:思源楼224室

主持人:Prof. Wei-lin LIU  Department of Finance, School of Management, Fudan University 

主题:Volatility Premium for the Long Run and Short Run

演讲者:Prof. Chu ZHANG  Professor of Finance, Hong Kong University of Science and Technology

摘要:  We re-examine the puzzle documented in the recent literature that long-run volatility risk is virtually not compensated in addition to the short-run volatility risk.  Working with a more flexible framework with time-varying risk premiums for both short-run and long-run volatility risks, we establish that the long-run volatility risk demands a conditional premium, which depends on the difference between the long-run volatility and the short-run volatility. Likewise, the premium for the short-run volatility also depends on its level relative to that of the long-run volatility. The finding can support a wide range of asset pricing models.  The flexible framework also provides a better risk-return trade-off for volatility traders, compared with more rigid pricing models of long-run and short-run volatility risks.

 

财务金融系

2016-6-27