Option trading volume and the cross-section of option returns

IF 3.8 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance Pub Date : 2024-06-27 DOI:10.1016/j.najef.2024.102229

Jianglei Yuan , Dehong Liu , Carl R. Chen , Sen Hu

引用次数: 0

Abstract

This paper examines a novel pattern of option return predictability. Specifically, we find option trading volume negatively and significantly predicts the cross-section of delta-hedged option returns. Our portfolio strategies of option trading volume yield significant returns in options across different moneyness and time to maturity. Furthermore, the evidence shows that market capitalization and idiosyncratic volatility are able to explain the predictability of option trading volume on option returns. Our results are robust to alternative measures of option returns and option subsamples.

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期权交易量与期权收益截面

本文研究了期权收益预测性的一种新模式。具体来说，我们发现期权交易量对 Delta 对冲期权收益的横截面有显著的负向预测作用。我们的期权交易量组合策略在不同货币性和到期时间的期权中都能产生显著的收益。此外，证据显示市值和特异波动率能够解释期权交易量对期权收益的预测性。我们的研究结果对其他期权收益衡量方法和期权子样本都是稳健的。

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

North American Journal of Economics and Finance Multiple-

CiteScore

7.30

自引率

8.30%

发文量

168

期刊介绍： The focus of the North-American Journal of Economics and Finance is on the economics of integration of goods, services, financial markets, at both regional and global levels with the role of economic policy in that process playing an important role. Both theoretical and empirical papers are welcome. Empirical and policy-related papers that rely on data and the experiences of countries outside North America are also welcome. Papers should offer concrete lessons about the ongoing process of globalization, or policy implications about how governments, domestic or international institutions, can improve the coordination of their activities. Empirical analysis should be capable of replication. Authors of accepted papers will be encouraged to supply data and computer programs.