讲座简介：

报告摘要：In contrast to a wealth of knowledge on trading in equity markets, comparatively little is known about who gains and who underperforms in derivatives trading. We consider these issues in the context of an episode in China where equity investors obtained access to warrants due to regulatory reform, in an environment without other established options markets. The data, which allow us to analyze how well agents comprehend unfamiliar and complex contracts in their initial evolutionary stage, reveal that individual investors trade warrants with high skewness and pay for high skewness, while institutions do not. A considerable number of investors treat expiring deep OTM warrants as stocks, and pay positive prices for warrants that assure a reduction in investment capital owing to price limits in the underlying asset market. Price limit rules for the warrant market are set such that they often preclude convergence to fundamentals, which materially affects investors' profits. Investors earning the most profits are active traders and hold the least amount of warrants interday. Small investors tend to hold warrants for a relatively long period, which adversely impacts their performance. Overall, our results highlight the importance of ensuring financial sophistication amongst investors and regulators in derivatives markets. (This is a joint work with Xindan Li and Avanidhar Subrahmanyam)

主讲人简介：

杨学伟，南京大学副教授。南开大学理学博士，美国伊利诺伊大学（UIUC）联合培养博士，香港城市大学经济与金融系博士后，曾受邀访问美国加州大学（洛杉矶）Anderson 管理学院和香港科技大学工业工程与物流管理系。主要研究兴趣为金融创新与行为金融，金融衍生品定价，信用风险管理；在 Journal of Financial Economics，Mathematical Finance 和 Quantitative Finance 等期刊发表论文20余篇；研究成果入选AFA 2017, WFA 2016, The 5th Miami Behavioral Finance Conference, CICF 2014等国际学术会议，并曾获得“2014 GARP Risk Management Research Award”。