3917 7496
KK 837
PhD in Finance, London School of Economics, 2012
MSc in Finance and Economics, London School of Economics, 2008
BA in Economics, University of St Gallen, 2006
Thomas Andreas Maurer is an Associate Professor of Finance at the HKU Business School, The University of Hong Kong. Before joining HKU in 2019, he was an Assistant Professor of Finance at the Olin Business School, Washington University in St. Louis from 2012 to 2019. Thomas earned his London School of Economics MSc in Finance and Economics degree in 2008 and his LSE PhD in Finance degree in 2012. During his PhD studies he has spent one year as a visiting scholar at the University of Chicago Booth School of Business.
His research contributions are in the area of theoretical and empirical asset pricing, international finance and household finance. He regularly serves as a committee member for academic conferences and as an academic referee for many major economics and finance journals.
At HKU, Thomas is teaching classes on derivative securities to undergraduate students. In 2017, the graduating Master of Finance class at Wash U has chosen him as the best teacher and he was awarded the Reid teaching prize for the professor “whose enthusiasm and exceptional teaching most inspire, energize, and transform students”.
FINA2322 Derivatives
Asset pricing
International Finance
Household Finance
強積金是香港的強制性公積金計劃，旨在為居民提供基本的退休保障。在過去25年裡，強積金對香港普惠金融的發展起了重要的推動作用，成功鼓勵了家庭參與證券市場。然而，其年化回報率偏低的問题一直備受批評。隨著積金易平台即將推出，不同強積金計劃將可以整合到統一數碼制度中，這正好提供一個有利的契機，以對香港的主要退休儲蓄制度作出重大改進。 關穎倫教授、Thomas Maurer教授及太明珠教授分析了導致強積金表現欠佳的三個主要原因：資產配置過於保守，限制了收益潜力；部分強積金產品質量不高，管理或投資策略存在缺陷；以及高昂的費用，直接侵蝕了投資者的回報。針對這些問題，他們向政府提出了以下建議：首先，政府可以修訂預設投資策略以進一步降低費率，同時積金局亦可以邀請收費較低的新服務供應商進入市場。其次，政府應積極監察資產配置，透過採取規定性措施、推廣理財教育及篩選強積金資訊，協助市場參與者了解強積金複雜的投資產品空間。第三，政府可以開拓強積金的產品空間，引入更多元化的投資選擇。最後，積金局應提高數據透明度，並善用其數據資源進行分析。
我們研究外匯市場中擇時交易的經濟價值，即是利用與有條件夏普比率相關的資訊，來調整條件下均值方差最優的貨幣組合的名義價值。當條件下風險收益權衡更有利（不利）時，我們的策略會更激進（保守）地進行交易。這樣可以顯著改善樣本外無條件夏普比率、偏度和每百分之一預期超額收益率的最大回撤。該策略中的擇時交易預測了外匯市場的回報、波動性和偏度。普遍的貨幣定價因子無法解釋該策略的高平均超額收益率。我們的研究結果顯示，在建構貨幣交易策略時，採用槓桿、風險（即條件波動性）限製或其他次等擇時交易策略的代價高昂。
我們在無偏好設定的情況下引入風險糾纏的概念，以一併解釋數據中的匯率波動性、週期性和貨幣風險溢價。風險糾纏對應了一部分不完備市場模型，當中對匯率的非擴散或非對數正態衝擊並未能完全被資產回報所解釋。當風險糾纏時，會出現多種定價一致的匯率，但它們都不等於隨機貼現因數（SDFs）的比率或其預測。將匯率與SDF脫鉤能讓我們解釋在國際金融中令人費解的主要外匯市場規律。
從業界轉投學界，毛雷爾博士是一個興趣使然的浪漫主義者。他熱衷於共享知識，更希望能為學生帶來正面積極的影響。
