财务与金融系学术讲座系列2023年第4讲

来源：财务与金融系

主题：FX Option Volume

主讲人：王天宇（清华大学经济管理学院副教授）

协调人：郑凌凌、竺圣波

时间：2023年3月17日（周五）上午 10:00-11:30

地点：明商1007会议室

语言：英文

讲座摘要：

We study the information content of foreign exchange (FX) option volume by exploiting a unique dataset on over-the-counter FX options with counterparty identities and contract characteristics. We find that FX option volume can predict future exchange rate changes, particularly when the convenience yield of US treasuries is high.

These findings are consistent with an asymmetric information model in which informed traders trade either in FX option or spot markets. Supporting information-based arguments, we further document that the exchange rate predictability is stronger when using options with higher embedded leverage and around macro-announcement days.

Finally, we document that hedge funds and real money investors have superior skills in predicting future exchange rates compared to less sophisticated market participants.

主讲人简介：

王天宇，清华经管金融系，准聘副教授。毕业于英国帝国理工学院，研究方向是金融机构与金融市场。在国际期刊JF，JFE，RFS等发表多篇论文，并获得多个学术奖项。

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