演讲题目：A Financial-Economics Approach to Forecasting Crude-Oil Spot Prices

演讲嘉宾：Ehud Ronn 教授

演讲时间：2019年7月5日（星期五）下午14:30-17:30

演讲地点：J2-208

主持人：林伯强教授
 

讲座摘要：

This paper presents a parsimonious and theoretically-sound approach to deriving forecasts of spot crude-oil prices.  Defining forward-looking betas as perturbations of historical estimates, we apply one- and two-factor market models to the prices of options on oil-futures, equities and a market index to infer forward-looking oil-price betas.  Together with forward-looking measures of (implied) volatilities and the Sharpe Ratio, we use a conditional CAPM to infer (P-measure) expected crude-oil prices.  We find empirical support for this approach:  Sign changes in the correlation of oil-futures and equity markets reflect supply- and demand-side crises; in Contrasting our expectations with analysts’ forecasts of oil prices; and in Examining oil futures realized returns.

个人简介：

Ehud I. Ronn is a professor of Finance at the McCombs School of Business, University of Texas at Austin. He received his Ph.D. from Stanford University in 1983.

In addition to teaching at the University of California, Berkeley, Dr. Ronn has held visiting appointments at academic institutions in the U. S., Europe and the Far East. He has published articles on investments, interest rate instruments and energy derivatives in the academic and practitioner literature.

From 1991 to 1993, Dr. Ronn served as Vice President, Trading Research Group at Merrill Lynch & Co. Dr. Ronn was the founding director of the University of Texas Center for Energy Finance from 1997 to 2009. From Jan. 2010 to Feb. 2011, Prof. Ronn was Commodity Market Modeling practice area manager at Morgan Stanley & Co.

In Nov. 2004, Dr. Ronn was selected by Energy Risk to the “Energy Risk Hall of Fame.”