讲座题目：Understanding Common Risk Factors in Variance Swap Rates, Market Return Predictability and Variance Swap Investments When Volatility can Jump
主讲嘉宾：金星(Xing Jin)，英国华威大学商学院金融副教授
讲座时间：2018年9月6日（周四）下午2：00
讲座地点：沙河主教207
嘉宾简介：
金星(Xing Jin)。1983 年在安庆师范学院获得数学学士学位；1986 年在西安交大获得应用概率与运筹硕士学位；1991 年在中国科学院应用数学研究所获得应用概率与运筹博士学位；2002 年在美国马里兰大学Smith 商学院获管理科学与统计博士学位。工作经历：从1993 到1998 在中国科学院系统科学研究所任副研究员和研究员；2002 到2006 在新加坡国立大学数学系任助理教授和副教授；2006 至今在英国华威大学商学院任金融副教授。在主流金融，经济学和运筹学杂志上发表论文十多篇,如，Review ofFinancial Studies, Management Science, Mathematical Finance, Finance andStochastics, Journal of Banking and Finance, Journal of MathematicalEconomics, Journal of Economic Dynamics and Control , Mathematics of Operations Research, European Journal Operational Research 等。2016 年获中国金融年会最佳论文二等奖；亚洲金融学会会刋 International Review of Finance 编委.
内容摘要：
This paper proposes a tractable self-exciting double-jump model for stock return and its variance processes, extending existing two-factor term structure models of variance swap rates in the literature to a new three-factor model. Various goodness-of-fit tests show that our three-factor model outperforms the two-factor model in fitting the S&P 500 return and its variance swap rates. More importantly, we show that the expected log market excess return is linearly related to variance rates, suggesting a novel predictive regression model for the market returns. In stark contrast to the existing literature, our empirical results demonstrate that variance swap rates have superior predictive ability compared with variance risk premiums (VRPs) for predicting market returns both in-sample and out-of-sample for horizons up to two years. Unlike the popular double-jump model in the literature, our new model allows us to solve the optimal variance swap investment in a semi-closed form which greatly facilitates new understanding of volatility trading. Specifically, we find that the investor always takes a long-short-long strategy in investing variance swaps, and incurs sizeable economic loss caused by both model and parameter misspecifications.
[编辑]：张萌
