Reciprocal Return Risk Premium and Option Returns

IF 2.8 4区经济学 Q2 BUSINESS, FINANCE

Journal of Futures Markets Pub Date : 2026-08-04 Epub Date: 2026-06-18 DOI:10.1002/fut.70122

Bowen Du

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Abstract

This paper presents a robust new finding that reciprocal return risk premium, defined as the difference between the expected reciprocal of return under physical and risk-neutral measures, significantly predicts the option returns in the cross-section. Theoretical and empirical evidence underscore the pivotal role of the ex post volatility risk premium in this relation. We also find that the positive relation between reciprocal return risk premium and option return mainly resides in the $R V I X^{2}$ component, which is by definition a natural measure for return variation under the risk-neutral measure.

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互惠回报风险溢价和期权回报

本文提出了一个稳健的新发现，即回报互惠风险溢价（定义为物理措施下预期回报互惠与风险中性措施之间的差异）在横截面上显著预测期权回报。理论和实证证据强调了事后波动风险溢价在这一关系中的关键作用。我们还发现，互惠收益风险溢价与期权收益之间的正相关关系主要存在于R V I X 2分量中；根据定义，它是风险中性测度下回报变化的自然测度。

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 Futures Markets BUSINESS, FINANCE-

CiteScore

3.70

自引率

15.80%

发文量

期刊介绍： The Journal of Futures Markets chronicles the latest developments in financial futures and derivatives. It publishes timely, innovative articles written by leading finance academics and professionals. Coverage ranges from the highly practical to theoretical topics that include futures, derivatives, risk management and control, financial engineering, new financial instruments, hedging strategies, analysis of trading systems, legal, accounting, and regulatory issues, and portfolio optimization. This publication contains the very latest research from the top experts.