题目：Non-Marketability and One-Day Selling Lockup
报告人：Tie Su, Ph.D., CFA
时间：2015年6月19日下午13：30
地点：学思楼B106
论文：学院内网
宿铁简介：
ACADEMIC EXPERIENCE
Associate Professor of Finance
Department of Finance, School of Business, University of Miami, Coral Gables, Florida
June 2002 - present
Instructor, Levels 1 and 2, Becker CFA Professional Review
CFA-Miami and Stalla, 1996 - 2011.
Visiting Professor of Finance
Shanghai National Accounting Institute, Shanghai, China, Summer 2006-2008.
Guanghua School of Management, Beijing University, Beijing, China, Summer 2000.
Assistant Professor of Finance
Department of Finance, School of Business, University of Miami, Coral Gables, Florida
May 1996 - May 2002
Instructor
Department of Finance, College of Business, University of Missouri, Columbia, Missouri
January 1996 - May 1996
EDUCATION
Ph.D. in finance, 1995
Department of Finance, University of Missouri, Columbia, Missouri
Major: Finance
Minor: Econometrics and Microeconomics
M.A. in statistics, 1991
Department of Statistics, University of Missouri, Columbia, Missouri
Major: Statistics
B.S. in statistics, 1989
Department of Statistics, Beijing (Peking) University, Beijing, China
Major: Statistics
HONORS AND AWARDS
TCFA Best Paper Award
"Non-Marketability and One-Day Selling Lock-up," with J. Bian and J. Wang
TCFA Symposium, New York, NY, 2010
Shanghai Stock Exchange research grant, summer 2008
Nominated for the Excellence in Teaching Award, 1998, 1999, 2004-2007.
University of Miami.
Nominated for the "Professor of the Year", 2002, 2003.
School of Business, University of Miami.
James W. McLamore Summer Awards in Business and the Social Sciences
Research Council, University of Miami, 1997, 1999, 2001, and 2011.
SBA Summer Research Grants
School of Business, University of Miami, 1996-2002, 2010.
General Research Support Award
Research Council, University of Miami, 1998.
Chicago Board of Trade (CBOT) Futures and Options Paper Award
"The Hull and White Option Pricing Model and the Stochastic Process for the Market Portfolio," with C. Corrado
Midwest Finance Association meetings, Chicago, IL, 1996
American Association of Individual Investors (AAII) Accepted Dissertation Proposal Grant
"Implied Stochastic Factors in Options Prices," 1995
American Association of Individual Investors (AAII) Investments Paper Award
"A Simple Cost Reduction Strategy for Liquidity Traders: Trade at the Opening," with R. Brooks.
Midwest Finance Association meetings, Cincinnati, OH, 1995
Excellence in Teaching Award
Department of Finance, University of Missouri, 1995
Graduate Achievement Award
University of Missouri, 1995
American Association of Individual Investors (AAII) Investments Paper Award
"Skewness and Kurtosis in S&P 500 Index Return Implied by Option Prices," with C. Corrado.
Southern Finance Association meetings, Charleston, NC, 1994
Financial Research Institute Grant
Financial Research Institute, University of Missouri, 1993
REFEREED PUBLICATIONS
23. "Mortgage Delivery to the Secondary Market When Interest Rates Are Falling."
with A. Heuson
Financial Review, 2012, Vol. 47, No. 2, 219-246.
22. "The Value of Mortgage Prepayment and Default Options."
with Y. Chen, M. Connolly, and W. Tang
Journal of Futures Markets, 2009, Vol. 29, No. 9, 840-861.
21. "Investment Aspects of United States Social Security System and Reform Proposals."
with M. Theisen and W. Guo
Special edition of China's Pension, Healthcare and Social Welfare System, Peking University. 2009.
20. "A Closer Look at Option Theta."
with D. Emery and W. Guo
Journal of Economics and Finance, 2008, Vol. 1, 59-74.
19. "Option Put-Call Parity Relations When the Underlying Security Pays Dividends."
with W. Guo
International Journal of Business and Economics, 2006, Vol. 5, No. 3, 225-230.
18. "Weak and Semi-Strong Form Stock Return Predictability Revisited."
with W. Ferson and A. Heuson
Management Science, 2005, Vol. 51, No. 10, 1582-1592.
17. "Completely Predictable and Fully Anticipated? Step Ups in Warrant Exercise Prices."
with L. Garcia-Feijoo and J. Howe
Applied Economics Letters, 2005, v12(9), 561-565.
16. "Factors in Implied Volatility Skew in Corn Futures Options."
with W. Guo
Papers of the Nebraska Business and Economic Association, Vol. 16, No. 1, Fall 2004, 1-15.
15. "A Note on the Derivation of Black-Scholes Hedge Ratios."
Journal of Futures Markets, 2003, Vol. 23, No. 11, 1119-1122.
14. "How the Equity Market Responds to Unanticipated Events."
with R. Brooks and A. Patel
Journal of Business, 2003, Vol. 76 No. 1, 109-133.
13. "The Response of Sector Index Option Prices on Treasury Securities to Macroeconomic Announcements."
with A. Heuson
Financial Review, 2003, Vol. 38, 161-177.
12. "Predicting Volatility in the Commodity Futures Option Market: Evidence from the Corn Market during 1991-2000."
with S. Ferris and W. Guo
International Journal of Finance and Banking, 2003, vol. 1, No. 1, 73-94.
11. "Discretionary Reductions in Warrant Exercise Prices."
with J. Howe
Journal of Financial Economics, 2001, Vol. 61, 227-252.
10. "Large Price Movements and Short-Lived Market Microstructure Changes."
with R. Brooks and J. Park
Quarterly Review of Economics and Finance, 1999, Vol. 39, 303-316.
09. "Implied Volatility Skews and Stock Index Skewness and Kurtosis in S&P 500 Index Option Prices."
with C. Corrado
RISK Books, Volatility: New Estimation Techniques for Pricing Derivatives, June 1998, 381-390.
08. "An Empirical Test of the Hull-White Option Pricing Model."
with C. Corrado
Journal of Futures Markets, June 1998, Vol. 18 No. 4, 363-378.
07. "A Simple Cost Reduction Strategy for Small Liquidity Traders: Trade at the Opening."
with R. Brooks
Journal of Financial and Quantitative Analysis, December 1997, Vol. 32 No. 4, 525-540.
06. "A Contingent Claims Approach to the Inventory Stocking Decision."
with J. Stowe
Financial Management, Winter 1997, Vol. 26 No. 4, 42-55.
05. "CEO Presentations to Financial Analysts: Much Ado About Nothing?"
with R. Brooks, and M. Johnson
Financial Practice and Education, Fall 1997, Vol. 7 No. 2, 19-28.
04. "Implied Volatility Skews and Skewness and Kurtosis In Stock Option Prices."
with C. Corrado
European Journal of Finance, 1997, Vol. 3 No. 1, 73-85.
03. "Implied Volatility Skews and Stock Index Skewness and Kurtosis in S&P 500 Index Option Prices."
with C. Corrado
Journal of Derivatives, Summer 1997, Vol. 4 No. 4, 8-19.
02. "Skewness and Kurtosis in S&P 500 Index Returns Implied by Option Prices."
with C. Corrado ournal of Financial Research, Summer 1996, Vol. XIX No. 2, 175-192.
01. "S&P 500 Index Option Tests of Jarrow and Rudd's Approximate Option Valuation Formula."
with C. Corrado Journal of Futures Markets, September 1996, Vol. 16 No. 6, 611-629.
报告人：Tie Su, Ph.D., CFA
时间：2015年6月19日下午13：30
地点：学思楼B106
论文：学院内网
宿铁简介：
ACADEMIC EXPERIENCE
Associate Professor of Finance
Department of Finance, School of Business, University of Miami, Coral Gables, Florida
June 2002 - present
Instructor, Levels 1 and 2, Becker CFA Professional Review
CFA-Miami and Stalla, 1996 - 2011.
Visiting Professor of Finance
Shanghai National Accounting Institute, Shanghai, China, Summer 2006-2008.
Guanghua School of Management, Beijing University, Beijing, China, Summer 2000.
Assistant Professor of Finance
Department of Finance, School of Business, University of Miami, Coral Gables, Florida
May 1996 - May 2002
Instructor
Department of Finance, College of Business, University of Missouri, Columbia, Missouri
January 1996 - May 1996
EDUCATION
Ph.D. in finance, 1995
Department of Finance, University of Missouri, Columbia, Missouri
Major: Finance
Minor: Econometrics and Microeconomics
M.A. in statistics, 1991
Department of Statistics, University of Missouri, Columbia, Missouri
Major: Statistics
B.S. in statistics, 1989
Department of Statistics, Beijing (Peking) University, Beijing, China
Major: Statistics
HONORS AND AWARDS
TCFA Best Paper Award
"Non-Marketability and One-Day Selling Lock-up," with J. Bian and J. Wang
TCFA Symposium, New York, NY, 2010
Shanghai Stock Exchange research grant, summer 2008
Nominated for the Excellence in Teaching Award, 1998, 1999, 2004-2007.
University of Miami.
Nominated for the "Professor of the Year", 2002, 2003.
School of Business, University of Miami.
James W. McLamore Summer Awards in Business and the Social Sciences
Research Council, University of Miami, 1997, 1999, 2001, and 2011.
SBA Summer Research Grants
School of Business, University of Miami, 1996-2002, 2010.
General Research Support Award
Research Council, University of Miami, 1998.
Chicago Board of Trade (CBOT) Futures and Options Paper Award
"The Hull and White Option Pricing Model and the Stochastic Process for the Market Portfolio," with C. Corrado
Midwest Finance Association meetings, Chicago, IL, 1996
American Association of Individual Investors (AAII) Accepted Dissertation Proposal Grant
"Implied Stochastic Factors in Options Prices," 1995
American Association of Individual Investors (AAII) Investments Paper Award
"A Simple Cost Reduction Strategy for Liquidity Traders: Trade at the Opening," with R. Brooks.
Midwest Finance Association meetings, Cincinnati, OH, 1995
Excellence in Teaching Award
Department of Finance, University of Missouri, 1995
Graduate Achievement Award
University of Missouri, 1995
American Association of Individual Investors (AAII) Investments Paper Award
"Skewness and Kurtosis in S&P 500 Index Return Implied by Option Prices," with C. Corrado.
Southern Finance Association meetings, Charleston, NC, 1994
Financial Research Institute Grant
Financial Research Institute, University of Missouri, 1993
REFEREED PUBLICATIONS
23. "Mortgage Delivery to the Secondary Market When Interest Rates Are Falling."
with A. Heuson
Financial Review, 2012, Vol. 47, No. 2, 219-246.
22. "The Value of Mortgage Prepayment and Default Options."
with Y. Chen, M. Connolly, and W. Tang
Journal of Futures Markets, 2009, Vol. 29, No. 9, 840-861.
21. "Investment Aspects of United States Social Security System and Reform Proposals."
with M. Theisen and W. Guo
Special edition of China's Pension, Healthcare and Social Welfare System, Peking University. 2009.
20. "A Closer Look at Option Theta."
with D. Emery and W. Guo
Journal of Economics and Finance, 2008, Vol. 1, 59-74.
19. "Option Put-Call Parity Relations When the Underlying Security Pays Dividends."
with W. Guo
International Journal of Business and Economics, 2006, Vol. 5, No. 3, 225-230.
18. "Weak and Semi-Strong Form Stock Return Predictability Revisited."
with W. Ferson and A. Heuson
Management Science, 2005, Vol. 51, No. 10, 1582-1592.
17. "Completely Predictable and Fully Anticipated? Step Ups in Warrant Exercise Prices."
with L. Garcia-Feijoo and J. Howe
Applied Economics Letters, 2005, v12(9), 561-565.
16. "Factors in Implied Volatility Skew in Corn Futures Options."
with W. Guo
Papers of the Nebraska Business and Economic Association, Vol. 16, No. 1, Fall 2004, 1-15.
15. "A Note on the Derivation of Black-Scholes Hedge Ratios."
Journal of Futures Markets, 2003, Vol. 23, No. 11, 1119-1122.
14. "How the Equity Market Responds to Unanticipated Events."
with R. Brooks and A. Patel
Journal of Business, 2003, Vol. 76 No. 1, 109-133.
13. "The Response of Sector Index Option Prices on Treasury Securities to Macroeconomic Announcements."
with A. Heuson
Financial Review, 2003, Vol. 38, 161-177.
12. "Predicting Volatility in the Commodity Futures Option Market: Evidence from the Corn Market during 1991-2000."
with S. Ferris and W. Guo
International Journal of Finance and Banking, 2003, vol. 1, No. 1, 73-94.
11. "Discretionary Reductions in Warrant Exercise Prices."
with J. Howe
Journal of Financial Economics, 2001, Vol. 61, 227-252.
10. "Large Price Movements and Short-Lived Market Microstructure Changes."
with R. Brooks and J. Park
Quarterly Review of Economics and Finance, 1999, Vol. 39, 303-316.
09. "Implied Volatility Skews and Stock Index Skewness and Kurtosis in S&P 500 Index Option Prices."
with C. Corrado
RISK Books, Volatility: New Estimation Techniques for Pricing Derivatives, June 1998, 381-390.
08. "An Empirical Test of the Hull-White Option Pricing Model."
with C. Corrado
Journal of Futures Markets, June 1998, Vol. 18 No. 4, 363-378.
07. "A Simple Cost Reduction Strategy for Small Liquidity Traders: Trade at the Opening."
with R. Brooks
Journal of Financial and Quantitative Analysis, December 1997, Vol. 32 No. 4, 525-540.
06. "A Contingent Claims Approach to the Inventory Stocking Decision."
with J. Stowe
Financial Management, Winter 1997, Vol. 26 No. 4, 42-55.
05. "CEO Presentations to Financial Analysts: Much Ado About Nothing?"
with R. Brooks, and M. Johnson
Financial Practice and Education, Fall 1997, Vol. 7 No. 2, 19-28.
04. "Implied Volatility Skews and Skewness and Kurtosis In Stock Option Prices."
with C. Corrado
European Journal of Finance, 1997, Vol. 3 No. 1, 73-85.
03. "Implied Volatility Skews and Stock Index Skewness and Kurtosis in S&P 500 Index Option Prices."
with C. Corrado
Journal of Derivatives, Summer 1997, Vol. 4 No. 4, 8-19.
02. "Skewness and Kurtosis in S&P 500 Index Returns Implied by Option Prices."
with C. Corrado ournal of Financial Research, Summer 1996, Vol. XIX No. 2, 175-192.
01. "S&P 500 Index Option Tests of Jarrow and Rudd's Approximate Option Valuation Formula."
with C. Corrado Journal of Futures Markets, September 1996, Vol. 16 No. 6, 611-629.
