Rational Inattention,Option Trading,and

Stock Return Predictability

主讲嘉宾  教沛然

报告人简介：

教沛然，荷兰马斯特里赫特大学(Maastricht University)商学院副教授，现任马大商学院行为科学中心(UM Behavioral Insights Center)联合主任，牛津大学纳菲尔德学院实验社会科学中心副研究员，国际实验金融学学会(SEF)管理委员会秘书长，荷兰养老金与老龄化研究机构(Netspar)研究员。主要研究方向为行为金融与实验金融/经济学，个体学习行为与绿色金融。研究成果发表于Review of Financial Studies,Management Science,Review ofEconomics and Statistics,The Economic Journal,Journal of Economic Behavior and Organizations,Scientific Reports等国际知名期刊，学术论文荣获"2024年弗农。史密斯卓越论文奖"(实验金融学领域年度最佳论文),Review of Financial Studies主编推荐奖(Editor'sChoice Award)

报告论文简介：

Option-implied mcasures are known to contain predictive power for subsequent stock market outcomes.In this paper,we document an important heterogeneity:this predictive poer depends on market-leve aggregate uncertainty.We show that this stems from a novel externality between stock and option markets created by rationally inattentive investors.In particular,the predictive powerof option-implied measures emerges on high aggregate uncertainty periods,and vanishes on low aggregate uncertainty periods. Additional supportive evidence reveals the mechanism behind this patter.During high aggregate uncertainty periods,investors shiftattention from individual stocks to the market, lowering the liquidity depth in the stock marketThis reduces the profit margin of informed investors in stock markets,motivating them to trade more options.We use a simple theoretical framework to reconcile these findings.Practically,our findings shed light on portfolio construction based on option-implied measures.

活动时间：2026年5月21日 星期四 上午 9:30-10:30

活动地点：金融学院会议室(劝学楼345小会议室)

线上腾讯会议：690-591-177

主办单位：金融学院，实验经济学实验室

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