Option-Implied Skewness and the Value of Financial Intermediaries

IF 1.5 4区经济学 Q3 BUSINESS, FINANCE

Journal of Financial Services Research Pub Date : 2022-10-20 DOI:10.1007/s10693-022-00387-y

Silvia Bressan, Alex Weissensteiner

引用次数: 0

Abstract

In this paper, we analyze the relationship among skewness, value, and stock returns for US financial intermediaries. Further, we compare skewness based on past returns to risk-neutral skewness based on options. We find that the option-implied skewness has a significantly higher explanatory power. In line with the strand of literature on investors exploiting mispriced stocks through option trading, we find that a higher ex ante skewness indicates a low valuation that predicts higher returns. We investigate the relationship between skewness and value for each segment of intermediaries, and we show that the link is strongest for financial technology firms.

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期权隐含偏度与金融中介的价值

本文分析了美国金融中介机构偏度、价值和股票收益之间的关系。进一步，我们比较了基于过去收益的偏度和基于期权的风险中性偏度。我们发现期权隐含偏度具有显著更高的解释力。根据关于投资者通过期权交易利用错价股票的文献，我们发现较高的事前偏度表明较低的估值预测较高的回报。我们研究了中介机构每个细分市场的偏度与价值之间的关系，并表明金融科技公司的联系最强。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Financial Services Research BUSINESS, FINANCE-

CiteScore

3.00

自引率

7.10%

发文量

期刊介绍： The Journal of Financial Services Research publishes high quality empirical and theoretical research on the demand, supply, regulation, and pricing of financial services. Financial services are broadly defined to include banking, risk management, capital markets, mutual funds, insurance, venture capital, consumer and corporate finance, and the technologies used to produce, distribute, and regulate these services. Macro-financial policy issues, including comparative financial systems, the globalization of financial services, and the impact of these phenomena on economic growth and financial stability, are also within the JFSR’s scope of interest. The Journal seeks to promote research that enriches the profession’s understanding of financial services industries, to elevate industry and product efficiencies, as well as to inform the debate and promote the formulation of sound public policies. Officially cited as: J Financ Serv Res