金融与财务学系系列讲座之295期
时 间：2023年12月12日10:00-11:30
Zoom会议号：891 4632 9051密码：343420
Zoom会议链接：点击链接
主 题：Volatility Timing Using ETF Options: Evidence from Hedge Funds
演讲者：George O. Aragon Professor of Finance, Arizona State University
摘 要：We find that hedge funds’ positions in exchange-traded fund (ETF) options contain volatility information about underlying ETF returns. Greater hedge fund option demand predicts higher abnormal variance of ETF returns over the following quarter and on days of macroeconomic news releases. The predictive power is stronger for options on non-equity ETFs, like fixed income and currency ETFs. A tracking portfolio of straddles based on funds’ straddle positions earns quarterly abnormal returns of 7.35%. Net of fees, funds using ETF straddles deliver lower risk and higher benchmark-adjusted returns than nonusers. We conclude that ETF options are an important venue for market volatility timing strategies.
简 介：George O. Aragon is a Professor of Finance at W. P. Carey School of Business, Arizona State University. His research focuses on capital markets and the structure, efficiency and risk management practices of the financial services industry, including hedge funds and mutual funds. His research has been published in the JFE, RFS, MS, JFQA, etc. He currently serves as the Associate Editor of JFQA.
金融与财务学系
2023-12-8
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