汪昌云
金融衍生工具,资产定价,金融风险管理,中国资本市场
个性化签名
- 姓名:汪昌云
- 目前身份:
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学术头衔:
博士生导师
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学科领域:
公路标志、信号、监控工程
- 研究兴趣:金融衍生工具,资产定价,金融风险管理,中国资本市场
汪昌云教授,1982年进入中国人民大学工业经济系学习,1986年获经济学学士学位,1989年获中国人民大学经济学硕士学位,1999年获伦敦大学金融学博士学位。1999-2005年任教于新加坡国立大学商学院。主要研究领域包括金融衍生工具,资产定价,金融风险管理,中国资本市场。自1999年以来,在国际高质量金融学期刊发表论文15篇,其中SSCI论文篇,其金融衍生工具和资产定价等研究在国际学术界有较大影响。汪昌云现任中国人民大学财政金融学院教授,博士生导师;澳门科技大学和对外经济贸易大学兼职教授;中国金融学年会常务理事;《金融学季刊》副主编。
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850
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成果数
12
【期刊论文】股权分裂与国有股流动性溢价: 基于流动性的经济学分析
汪昌云, 汪勇祥
,-0001,():
-1年11月30日
本文基于对流动性的经济学分析,探讨了股权分裂、市场流动性以及社会福利之间的 内在联系。分析表明,股权分裂降低了二级市场流动性,导致证券定价缺乏效率,从而降低了社会福利。我们进一步分析了影响国有股法人股定价的因素,并提出测算非流通股流动性溢价的思路和方法,为以市场化方法解决股权全流通问题奠定基础。
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【期刊论文】INVESTOR SENTIMENT AND RETURN PREDICTABILITY IN AGRICULTURAL FUTURES MARKETS
汪昌云, CHANGYUN WANG
The Journal of Futures Markets, Vol. 21, No.10, 929-952 (2001),-0001,():
-1年11月30日
This study examines the usefulness of trader-position-based sentiment index for forecasting future prices in six major agricultural futures markets. It has been found that large speculator sentiment forecasts price continuations. In contrast, large hedger sentiment predicts price reversals. Small trader sentiment hardly forecasts future market movements. An investigation was performed into various sentiment-based timing strategies, and it was found that the combination of extreme large trader sentiments provides the strongest timing signal. These results are generally consistent with the hedging-pressure theory, suggesting that hedgers pay risk premiums to transfer nonmarketable risks in futures markets. Moreover, it does not appear that large speculators in the futures markets possess any superior forecasting ability.
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83浏览
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汪昌云, CHANGYUN WANG
The Journal of Futures Markets, Vol. 22, No.5, 427-450 (2002),-0001,():
-1年11月30日
We investigate the effect of net positions by type of trader on return volatility in six foreign currency futures markets using the weekly Commitments of Traders (COT) data. When net positions are decomposed into expected and unexpected components, we find that expected net positions by type of trader generally do not co-vary with volatility. However, volatility is positively associated with shocks (in either direction) in net positions of speculators and small traders, and negatively related to shocks (in either direction) in net positions of hedgers. This evidence suggests that changes in speculative positions destabilize the market. Consistent with dispersion of beliefs models and noise trading theories, hedgers appear to possess private information, whereas speculators and small traders are less informed in these markets.
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61浏览
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【期刊论文】THE BEHAVIOR AND PERFORMANCE OF MAJOR TYPES OF FUTURES TRADERS
汪昌云, CHANGYUN WANG
The Journal of Futures Markets, Vol. 23, No.1, 1-31 (2003),-0001,():
-1年11月30日
This article examines the behavior and performance of speculators and hedgers in 15 U.S. futures markets. We find that after controlling for market risk factors, speculators are contrarians, but respond positively to market sentiment. In contrast, hedgers engage in positive feedback trading and trade against market sentiment. We also find that trades of speculators (hedgers) are positively (negatively) correlated with subsequent abnormal returns; however, it does not appear that speculators possess superior forecasting power. Therefore, hedging pressure effects likely explain the negative relation between the performance of speculators and hedgers. The positive feedback trading by hedgers together with their negative performance suggests that hedgers have a destabilizing impact on futures prices.
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86浏览
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【期刊论文】Extreme volumes and expected stock returns: Evidence from China's stock market
汪昌云, Chang Yun Wang a, b, *, Nam Sang Cheng a
Pacific-Basin Finance Journal 12(2004)577-597,-0001,():
-1年11月30日
We examine the relation between extreme trading volumes and expected returns for individual stocks traded on the Shanghai Stock Exchange and the Shenzhen Stock Exchange over the July 1994-December 2000 interval. Contrasted with the evidence obtained from the US data [J. Finance 56 (2001) 877], our results show that stocks experiencing extremely high (low) volumes are associated with low (high) subsequent returns. Moreover, this extreme volume-return relation significantly co-varies with security characteristics like past stock performance, firm size, and bookto-market values. In particular, stocks with extreme volumes are related to poorer performance if they are past winners, large firms, and glamour stocks than if they are past losers, small firms, and value stocks, respectively. These results are robust to both daily and weekly samples as well as stock exchange sub-samples. Although the liquidity premium hypothesis of Amihud and Mendelson [J. Financ. Econ. 17 (1986) 223] provides a partial explanation for the extreme volume-return relation, our results fit better the behavioral hypothesis of Baker and Stein [J. Financ. Mark. 7 (2004) 271].
Extreme volumes, Stock returns, Security characteristics, China', s stock market
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63浏览
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487下载
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汪昌云, Changyun Wang a, *, Soon Sern Low b
J. of Multi. Fin. Manag. 13(2003)1-17,-0001,():
-1年11月30日
To hedge with foreign currency denominated stock index futures, the interdependence of equity, futures, and foreign exchange markets is important in formulating hedging strategies. This also results in divergent optimal hedging strategies for international and domestic investors. We derive and compare optimal hedging strategies for the two types of investors. Evidence from the MSCI Taiwan index futures traded on the SGX shows that both types of investors gain from hedging with the futures contract, while international investors tend to benefit more than domestic investors. This result is robust to various commonly used hedging techniques and sample periods. Moreover, both in-sample and out-of-sample results indicate that a GARCH error-correction model persistently outperforms other hedging techniques.
Stock index futures, Hedging, Market interdependence, GARCH model
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55浏览
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434下载
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【期刊论文】Trading activity and price reversals in futures markets
汪昌云, Changyun Wang a, b, *, Min Yu b
Journal of Banking & Finance 28(2004)1337-1361,-0001,():
-1年11月30日
We use the standard contrarian portfolio approach to examine short-horizon return predictability in 24 US futures markets. We find strong evidence of weekly return reversals, similar to the findings from equity market studies. When interacting between past returns and lagged changes in trading activity (volume and/or open interest), we find that the profits to contrarian portfolio strategies are, on average, positively associated with lagged changes in trading volume, but negatively related to lagged changes in open interest. We also show that futures return predictability is more pronounced if interacting between past returns and lagged changes in both volume and open interest. Our results suggest that futures market overreaction exists, and both past prices and trading activity contain useful information about future market movements. These findings have implications for futures market effciency and are useful for futures market participants, particularly commodity pool operators.
Futures markets, Price reversals, Overreaction, Trading volume, Open interest
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100浏览
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【期刊论文】Profitability of return and volume-based investment strategies in China's stock market
汪昌云, Changyun Wang a, b, *, Shengtyng Chin b
Pacific-Basin Finance Journal 12(2004)541-564,-0001,():
-1年11月30日
We examine the informational role of the interaction between past returns and past trading volume in the prediction of cross-sectional returns over intermediate horizons in China's stock market. Our results show that low-volume stocks outperform high-volume stocks, volume discounts are more pronounced for past winners than for past losers, low-volume stocks experience return continuations, and high-volume winners exhibit return reversals. Our results are robust to risk adjustments relative to Fama and French's three-factor model, and to stock exchange as well as large stock sub-samples. Our findings are not entirely consistent with the literature, which are likely to result from the market characteristics, in particular, the short-sales prohibition and the dominance of individual investors in the market.
China', s stock market, Investment strategy, Asset pricing, Trading volume
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126浏览
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411下载
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【期刊论文】Futures trading activity and predictable foreign exchange market movements
汪昌云, Changyun Wang *
Journal of Banking & Finance 28(2004)1023-1041,-0001,():
-1年11月30日
In this paper, we examine the relation between futures trading activity by trader type and returns over short horizons in five foreign currency futures markets-British pound, Canadian dollar, Deutsche mark, Japanese yen, and Swiss franc. Transforming trading activity into a sentiment measure, we find that speculator sentiment is positively related to future returns. In contrast, hedger sentiment covaries negatively with future returns. We also find that extreme sentiment by trader type is more correlated with future market movements than moderate sentiment. Our results suggest that hedgers lose to speculators in these futures markets, on average. Based on equilibrium pricing models that futures risk premiums are determined by both market risk and hedging pressure, we show that the profits to speculators are in general compensation for bearing risk.
Trading activity, Return predictability, Currency futures, Hedging pressure, Risk premiums
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【期刊论文】Ownership and operating performance of Chinese IPOs
汪昌云, Changyun Wang *
Journal of Banking & Finance 29(2005)1835-1856,-0001,():
-1年11月30日
We examine changes in operating performance of Chinese listed companies around their initial public offerings, and focus on the effect of ownership and ownership concentration on IPO performance changes. We document a sharp decline in post-issue operating performance of IPO firms. We also find that neither state ownership nor concentration of ownership is associated with performance changes, but there is a curvilinear relation between legal-entity ownership and performance changes and between concentration of non-state ownership and performance changes. Our results are robust to different performance measures and industry adjustments. These findings suggest that agency conflicts, management entrenchment, and large shareholders expropriation co-exist to influence Chinese IPO performance, and the beneficial and detrimental effects of state shareholdings tend to offset each other.
Initial public offerings, Operating performance, Ownership, Concentration of ownership
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116浏览
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