- Grants awarded to Dr. Lorenzo Schoenleber, Assistant
Professor in Finance at the Collegio Carlo Alberto and the
University of Turin, and Dr.
Grigory Vilkov, Professor of Finance
at Frankfurt School of Finance and Management
- Sponsored by S&P Dow Jones Indices, the grant will fund
research to explore dispersion as an asset class
- Research expected to complement planned launch of the Cboe
S&P 500 Dispersion Index
CHICAGO, Aug. 3, 2023
/PRNewswire/ -- Cboe Global Markets, Inc. (Cboe: CBOE), the world's
leading derivatives and securities exchange network, today
announced Dr. Lorenzo
Schoenleber, Assistant Professor in Finance at the Collegio
Carlo Alberto and the University of Turin, and Dr. Grigory
Vilkov, Professor of Finance at Frankfurt School of Finance
and Management, as the winners of the Options Institute S&P Dow
Jones Indices (S&P DJI) Dispersion Research Grant, which is
focused on exploring dispersion as an asset class.
The Options Institute Research Grant
Program aims to support research that helps catalyze
the advancement of derivatives usage and financial exchange
marketplace structures. The program, which welcomed its first class
of research grant recipients this year, is part of Cboe's goal to
operate an inclusive global marketplace that helps all market
participants better understand financial products, market data and
trading strategies.
As the winners of this grant, sponsored by S&P DJI, Dr.
Schoenleber and Dr. Vilkov will study the economics behind
option-implied factor dispersion. Specifically, this research will
investigate how dispersion differentiates from variables like the
Cboe Volatility (VIX) Index, the variance risk premium which are
typically considered fear and tail risk proxies, and option-implied
correlations which measure the average diversification benefits in
the market. The study will ultimately seek to connect dispersion
measures to macroeconomic risk, financial risk, return
predictability, and the cross-section of stock returns. In support
of this objective, Dr. Schoenleber and Dr. Vilkov may claim Cboe
data sets valued up to $35,000 as the
grant recipients1.
Dr. Schoenleber is an Assistant Professor in Finance at the
Collegio Carlo Alberto and the University of Turin. His primary research interest is asset
pricing, particularly within the areas of option-implied
information, asset management and decentralized
finance. He obtained his Ph.D. in Finance at the Frankfurt School
of Finance and Management in 2020 and earned his B.Sc. and M.Sc. at
the University of Mannheim, where he studied Business Mathematics.
Outside of academia, he has done consulting work for fintechs,
asset managers and hedge funds around the world.
Dr. Vilkov is Professor of Finance at Frankfurt School of
Finance and Management. He earned an MBA from the University of Rochester, M.Sc. and Ph.D. in
Management from INSEAD, and then habilitation from Goethe University Frankfurt. Previously, he was an
assistant professor at Goethe
University and visiting professor at the University of
Mannheim. His areas of interest include the use of derivative
instruments and option-implied information in asset pricing and
portfolio management and general equilibrium modeling with
frictions. Dr. Vilkov's work has been published in top finance and
economics journals such as the Journal of Finance, Review of
Financial Studies, Journal of Financial Economics, and Journal of
Monetary Economics.
"With the increased volatility in today's markets, the research
by Dr. Schoenleber and Dr. Vilkov will aim to provide investors
with valuable insight on tactical, strategic asset allocation and
dynamic risk management," said Gina
DeRaimo, Head of The Options Institute at Cboe. "Academic
research is crucial to ideas and innovation that may lead to new
investment and risk management opportunities for market
participants, and we couldn't be more excited to work with S&P
Dow Jones Indices to drive greater investor education around the
strategies and factors influencing the options market."
"S&P Dow Jones Indices is pleased to collaborate with The
Options Institute at Cboe to help support academic research that
deepens market participants knowledge and understanding of
dispersion trends, utilizing data from the world's most historic,
liquid and widely referenced U.S. large-cap equity benchmark," said
Tim Brennan, Managing Director and
Head of Capital Markets at S&P Dow Jones Indices. "This
research, in tandem with the development of the Cboe S&P 500
Dispersion Index, will help advance further innovations in the
capital markets and drive the next generation of sophisticated risk
management tools."
Significantly, this research is expected to complement the
planned launch of the Cboe S&P 500 Dispersion Index, a new
volatility-related index jointly created by Cboe and S&P DJI.
This index is the first concept developed by Cboe Labs, Cboe's
innovation arm focused on new tradable products and services.
Cboe has been providing best-in-class investor education through
the Options Institute, teaching the responsible use of options and
trading strategies for more than 35 years. To learn more, visit
www.cboe.com/optionsinstitute.
About Cboe Global Markets, Inc.
Cboe Global Markets (Cboe: CBOE), the world's leading
derivatives and securities exchange network, delivers cutting-edge
trading, clearing and investment solutions to people around the
world. Cboe provides trading solutions and products in multiple
asset classes, including equities, derivatives, FX, and digital
assets, across North America,
Europe and Asia Pacific. Above all, we are committed to
building a trusted, inclusive global marketplace that enables
people to pursue a sustainable financial future. To learn more
about the Exchange for the World Stage, visit www.cboe.com.
Media
Contacts
|
|
Analyst
Contact
|
Angela
Tu
|
Tim
Cave
|
|
Kenneth Hill,
CFA
|
|
+1-646-856-8734
|
+44 (0)
7593-506-719
|
|
1-312-786-7559
|
|
atu@cboe.com
|
tcave@cboe.com
|
|
khill@cboe.com
|
|
|
|
|
|
|
|
|
CBOE-OE
CBOE-O
Cboe® and Cboe Global Markets® are registered trademarks of Cboe
Exchange, Inc.
The S&P 500 Index is a product of S&P Dow Jones Indices
LLC ("S&P DJI"). "S&P®", "S&P 500®", "SPY®", "SPX®",
"DSPX", US 500 and The 500 are trademarks of Standard & Poor's
Financial Services LLC; Dow Jones®, DJIA® and Dow Jones Industrial
Average are service and/or trademarks of Dow Jones Trademark
Holdings LLC. These trademarks have been licensed for use by Cboe
Global Markets. Contracts based on the S&P DJI's indices are
not sponsored, endorsed, marketed, or promoted by S&P DJI, and
S&P DJI makes no representation regarding the advisability of
investing in such products. All other trademarks are the property
of their respective owners.
Cboe Global Markets, Inc. is not affiliated with S&P. Cboe
Global Markets, Inc. and its affiliates have not calculated,
composed or determined the constituents or weightings of the
securities that comprise the S&P 500 Indexes and shall not in
any way be liable for any inaccuracies or errors.
Cautionary Statements Regarding Forward-Looking
Information
Certain information contained in this press release may
constitute forward-looking statements. We caution readers not to
place undue reliance on any forward-looking statements, which speak
only as of the date made and are subject to a number of risks and
uncertainties.
1 Subject to applicable terms and regulatory
approvals
View original content to download
multimedia:https://www.prnewswire.com/news-releases/cboe-announces-winners-of-the-options-institute-sp-dow-jones-indices-dispersion-research-grant-301892630.html
SOURCE Cboe Global Markets, Inc.