时间：2024年1月2日（星期二）9:00-11:00

地点：经管大楼A楼 四楼第二会议室报告厅

主题：Market Neutrality and Beta Crashes（市场风险中性及贝塔崩溃）

主讲人：徐夏（法国ESSCA商学院）

简介：Xia Xu is an assistant professor in finance at ESSCA School of Management, France. His main research interests are financial economics, empirical asset pricing, and decision theory. He has published several papers in journals such as Journal of Financial Markets, Journal of Economic Behavior and Organization, and Annals of Operations Research, etc. 

徐夏，法国ESSCA商学院金融系助理教授，研究方向为金融经济学、实证资产定价、决策理论，在Journal of Financial Markets、Journal of Economic Behavior and Organization、Annals of Operations Research等期刊发表论文数篇。

摘要：This seminar explores the popular betting against beta (BAB) strategy and the related low-risk market anomaly. The study finds that risk-neutral hedging approaches do not make BAB immune to market volatility. On the contrary, low-risk investment strategies face the risk of losses associated with market upswings.

报告主要探讨近年金融领域流行的对赌贝塔（BAB）策略以及其代表的低风险市场异象，研究发现风险中性的对冲方式并没有使得BAB对市场波动免疫，相反低风险的投资策略面临着市场上升带来的损失风险。