题　目：The Price Impact of Large Hedging Trades
主讲人：Neil Pearson   UIUC香槟分校
时　间：7月7日下午2:00—3:30
地　点：主楼326
主讲人简介：
　　Neil D. Pearson is a professor of finance at the University of Illinois at Urbana-Champaign. His research includes both theoretical and empirical work on asset pricing and the valuation and hedging of financial derivatives and other financial instruments. Dr. Pearson has published papers in a number of academic journals, is an associate editor of the Journal of Financial Economics, the Journal of Financial and Quantitative Analysis, and Economics Bulletin and has written a book, Risk Budgeting: Portfolio Problem Solving with Value-at-Risk, published by John Wiley & Sons. He has consulted for a number of U.S. and international banks, working on term structure models, the evaluation of derivatives pricing models, and some issues that arise in the computation of “value at risk”measures. He received his Ph.D. from the Massachusetts Institute of Technology.
内容简介：
　　The extent to which derivatives markets affect the prices of their underlying stocks has long been of interest. Issuers of structured equity products (SEPs) based on common stocks hedge their liabilities by trading in the underlying common stocks. In the sample used in this paper, these trades raise the prices of the underlying stocks by an average of almost 100 basis points on the pricing dates of the SEPs. This is direct evidence that derivatives hedging has important impacts on the prices of even very large and liquid stocks. The price impact is mostly, but not fully, reversed on the subsequent trading day. In addition, these results provide new estimates of the price impact of trading volume for large-capitalization U.S. common stocks.