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欧阳辉

OU-YANG Hui

加州大学伯克利分校博士、杜兰大学博士
bat365在线官网登录金融学教授、杰出院长讲席教授
bat365在线官网登录高级副院长

教授简介:

欧阳辉是bat365在线官网登录高级副院长、金融学杰出院长讲席教授,兼任学院互联网金融研究中心主任与金融创新和财富管理研究中心联席主任。欧阳也是中国证监会资本学院特聘教授并兼任多个公司独立董事和高级顾问。

欧阳辉曾任雷曼兄弟,野村证券,瑞士银行董事总经理。负责过大型金融机构的资产配置,信用衍生品定价,alpha-beta 结构性产品等,也负责过为大型企业的投融资,成本管理和业务开发提供解决方案和产品建议。

欧阳也曾被美国北卡大学授予终身教职和任杜克大学副教授, 曾被评选为杜克大学2004级全球企业高管EMBA最佳教授,曾独立荣获2003年度著名的《金融研究评论》 杂志Michael Brennan奖及2005年度定量分析师协会最佳论文奖(与Henry Cao分享)。

欧阳拥有美国加州大学伯克利分校金融学博士学位和美国杜兰大学化学物理学博士学位。他还曾在美国加州理工学院从事化学物理学博士后研究,师从诺贝尔奖得主鲁道夫·马克斯(Rudy Marcus)。

主要研究领域

资产定价
公司理财
资产定价与道德风险的混合模型

学术成就

  • Barclays Global Investors/ Michael Brennan Runner-Up (Second Place) Award for the best paper published in Volume 16 of the Review of Financial Studies for "Optimal Contracts in a Continuous-Time Delegated Portfolio Management Problem"
  • Outstanding Professor Award (Professor of the Year), Global Executive MBA, Fuqua Business School, Duke University, 2004
  • The Society of Quantitative Analysts Award, 2005 Western Finance Association Meetings for "Differences of Opinion of Public Information and Speculative Trading in Stocks and Options" (with H. Cao)
  • The third place award for the best paper presented at the 2004 China International Finance Assiciation Meeting for "Differences of Opinion of Public Information and Speculative Trading in Stocks and Opinions" (with H. Cao)

主要学术成果

  1. Alpha Decay and Sharpe Ratio: Two Measures of Investor Performance“, with Ming Guo, Economic Modelling Volume 104, November 2021, 105558
  2. "The Power Law Characteristics of Stock Price Jump Intervals: An Empirical and Computational Experimental Study", with Hongduo Cao
  3. "Return Predictability and Strategic Trading under Symmetric Information", with Ming Guo,Journal of Mathematical Finance, 2017, 7, 412-436.
  4. "Net Trade and Market Efficiency in Grossman and Stiglitz (1980)", with W. Wu,  Journal of Economic Theory, 67, 75-86, 2017.
  5. "Feedback Trading between Fundamental and Nonfundamental Information", with M. Guo, Review of Financial Studies, 28, 247—296, 2015.
  6. "A Model of Portfolio Delegation and Strategic Trading", with A. S. Kyle and B. Wei, Review of Financial Studies, 24, 3778-3812, 2011.
  7. "Differences of Opinion of Public Information and Speculative Trading in Stocks and Options", with H. Cao, Review of Financial Studies, 22, 299-335, 2009. (Placed third in the best paper award at CIFC in 2004 and judged best paper in the "most relevant to practitioners" category at WFA in 2005.)
  8. "Capital Structure, Debt Maturity, and Stochastic Interest Rates", with N. Ju, Journal of Business, 79, 2469-2502, 2006.
  9. "Estimation of Continuous-Time Models with an Application to Equity Volatility", with G. Bakshi and N. Ju, Journal of Financial Economics, 82, 227-249, 2006.
  10. "Prospect Theory and Liquidation Decisions", with A. S. Kyle and W. Xiong, Journal of Economic Theory, 129, 273-288, 2006.
  11. "Incentives and Performance in the Presence of Wealth Effects and Endogenous Risk", with M. Guo, Journal of Economic Theory, 129, 150-191, 2006.
  12. "An Equilibrium Model of Asset Pricing and Moral Hazard", Review of Financial Studies, 18, 1219-1251, 2005.
  13. "Optimal Contracts in a Continuous-Time Delegated Portfolio Management Problem", Review of Financial Studies, 16, 173-208, 2003. (Awarded the Barclays Global Investors/ Michael Brennan Runner-Up Award for the best paper published in Volume 16)
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