题目：Investor Sentiment and Option Prices: Evidence from Value and Growth Index Options

嘉宾：刘小泉 博士（英国Essex大学Essex商学院）

时间：2011年3月3日 (星期四) 下午4:15-5:30

地点：管理科研楼1018会议室

主办：管理学院统计与金融系

报告摘要:

 　This paper examines the impact of investor sentiment on the valuation of value and growth index options. To this end, we investigate the empirical relationship between institutional and individual sentiment and time variation in the risk-neutral skewness derived from options written on S&P 500, Nasdaq 100, Russell 2000 Value and Growth indices. We find that the risk-neutral skewness of the S&P 500 and Russell 2000 Value index options is affected by institutional sentiment. Meanwhile, the skewness of the risk-neutral density of Nasdaq 100 and Russell 2000 Growth index options is significantly positively related to individual sentiment. Our empirical results provide evidence that options on portfolios of growth stocks are more likely to be affected by the behavior of unsophisticated investors.