主 讲 人： Rick Cooper教授，Illinois Institute of Technology

主讲内容：

1） 项目简介

2） 模拟课堂

3） “Financialization and Futures Premiums:Theory and Evidence”学术研讨

时间： 2018年6月4日

15:00—16:30 学术研讨会

16:30—18:00 项目宣讲 & 模拟课堂

地点： 后主楼1620

 

一、项目简介

伊利诺伊理工大学（ Illinois Institute of Technology，简称IIT）建立于1890年，是一所具有授予博士学位资格的私立研究型大学，坐落于美国芝加哥市区。

斯图尔特商学院（Stuart School of Business）创建于1969年，是经AACSB权威认证的商学院之一。斯图尔特商学院教授以商业需求、管理和金融财务为核心内容的专业课程，同时注重解决全球化的商业问题和科技问题。作为世界期货交易理论创始校之一，在美国金融领域享有极高的声誉。斯图尔特商学院金融硕士项目在2018全球最佳金融硕士项目中排名第22。

我院与美国伊利诺伊理工大学建立了良好的合作关系，3+2金融硕士项目将由我院向美国伊利诺伊理工大学斯图尔特商学院派遣符合条件的本科生（在北京师范大学完成三年学业）到对方大学学习2年或2年以上。本项目为全日制学习，学习基本年限为5年。学生在第4年赴伊利诺伊理工大学学习期间需继续完成北师大学士学位的要求，并在完成学业后获得北师大学士学位和伊利诺伊理工大学的硕士学位。

 

二、“Financialization and Futures Premiums:Theory and Evidence”【摘要】

Financialization in the futures markets came around 2003. The effects of treating futures as an asset class to be considered for investment provides an interesting study only recently undertaken in the literature. This paper looks at the result, reported in Blocher, Cooper, and Molyboga (2018) that the term premium in the futures markets was much smaller before financialization than after financialization.

 

We develop a simple partial equilibrium model involving an indexer and an arbitrageur that explains this result and predicts that this phenomenon should be observed in index securities but not in non-index securities. We verify this to indeed be the case.

 

Furthermore, we examine the full equilibrium model of Basak and Pavlova (2016) and find that many of the things predicted by their model can be validated in our sample. Therefore, we raise the issue of integrating these models together. We propose a couple of ways forward and are actively soliciting suggestion on the best way to proceed. The result would be a general equilibrium model of the futures market that included indexing behavior, arbitrage behavior, investment behavior, and worked along the entire term structure of futures maturities.