财务与金融系学术讲座系列2021年第11讲

主 题：衍生品杠杆是把双刃剑

主讲人: 杨学伟（金融学副教授，南京大学工程管理学院）

协调人: 李晨煦

时 间：2021-10-13 09:00

地 点：Zoom会议室

语 言：中文

地点： Zoom会议室

https://zoom.us/j/82920821068?pwd=akVCTzdIVTJEZGh5b0pPSUtBMFhIdz09

会议 ID：829 2082 1068

密码：605326

讲座摘要:

Proprietary futures brokerage data allow us to analyze how the embedded leverage in derivatives affects portfolio returns and volatility across traders. Performance is persistent: Some skilled traders earn supernormal profits and some unskilled ones reliably underperform, in and out of sample. Implicit derivatives leverage enhances the performance of the former but has the reverse effect on the latter. Institutions are neither particularly skilled or unskilled, and do not benefit or suffer from leverage. Unskilled investors' levered positions amplify losses stemming from gambling proclivity, and margin calls account for the bulk of the underperformance. Skilled benefit from derivatives leverage via de facto market making and arbitraging the spot-futures basis; these traders on average earn a 19.3 bps daily return per leverage unit.

主讲人简介:

Xuewei (Aaron) Yang is an Associate Professor of Finance at the School of Management and Engineering, Nanjing University. He received a B.Sc. in mathematics from Xidian University in 2006 and a Ph.D. in probability and statistics from Nankai University in 2011. From January 2012 through January 2013, he was a postdoc fellow in finance at the City University of Hong Kong. He is mainly interested in theoretical and empirical asset pricing, investor behavior and financial innovation.

His papers have been published in leading peer-reviewed academic journals such as Journal of Financial Economics, Review of Financial Studies, INFORMS Journal on Computing, Mathematical Finance, etc. His work has been presented at many prestigious conferences, including the American Finance Association Annual Meeting, Western Finance Association Annual Meeting, Miami Behavioral Finance Conference, China International Conference in Finance, European Financial Management Association Annual Meetings, INFORMS Annual Meeting, and many others.

His paper "A Rating-Based Sovereign Credit Risk Model: Theory and Evidence" (co-authored with Haitao Li and Tao Li) won the GARP (Global Association of Risk Professionals) Risk Management Research Award in 2014.

He is a member of the American Finance Association, Western Finance Association, American Economic Association, and INFORMS.