讲座题目：Forecasting Option Returns with News

主讲嘉宾：Han Bing（韩冰）

多伦多大学罗特曼管理学院TMX资本市场讲席教授

讲座时间：2025年1月3日（周五）10:00

讲座地点：金融学院116教室

嘉宾简介

Han Bing（韩冰），加拿大多伦多大学罗特曼管理学院金融学教授、TMX资本市场讲席教授，香港中文大学商学院访问教授。主要研究领域为投资和行为金融学。他的论文发表在顶级金融学、经济学和管理学杂志上，包括Journal of Finance、 Journal of Financial Economics、Review of Financial Studies、Review of Economic Studies、Journal of Economic Theory、Management Science等国际顶级期刊，并受到《纽约时报》、《华尔街日报》等媒体的专访。由于其杰出贡献，韩冰教授获得了众多国际知名奖项和学术奖金，曾担任Financial Management，Review of Finance, Journal of Economic Dynamics and Control，Journal of Empirical Finance，International Review of Finance和Pacific-Basin Finance Journal等国际期刊主编和副主编。

摘要

This paper examines the information content of news media for the cross-section of expected equity option returns. We derive text-based signals from news articles on publicly traded companies that strongly forecast their delta-hedged equity option returns. The option return predictability of our textual signals is robust to variations in text representations and machine learning approaches. It remains significant after controlling for existing option return predictors. We propose a text-based method to evaluate various underlying mechanisms. We find that media coverage of companies contains valuable information about future change in stock return volatilities. This appears to be the key source of option return predictability by news articles.