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
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。
