{"title":"股票期权收益异常吗?IPCA说不","authors":"Amit Goyal, Alessio Saretto","doi":"10.24149/wp2214","DOIUrl":null,"url":null,"abstract":"We show that much of the profitability in equity option return strategies, which try to capture option mispricing by taking exposure to underlying volatility, can be explained by an IPCA model. The alpha reduction, relative to competing static factor models, is between 50% and 75% depending on the computing model and the type of option position.","PeriodicalId":322311,"journal":{"name":"Federal Reserve Bank of Dallas, Working Papers","volume":"50 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2022-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":"{\"title\":\"Are Equity Option Returns Abnormal? IPCA Says No\",\"authors\":\"Amit Goyal, Alessio Saretto\",\"doi\":\"10.24149/wp2214\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"We show that much of the profitability in equity option return strategies, which try to capture option mispricing by taking exposure to underlying volatility, can be explained by an IPCA model. The alpha reduction, relative to competing static factor models, is between 50% and 75% depending on the computing model and the type of option position.\",\"PeriodicalId\":322311,\"journal\":{\"name\":\"Federal Reserve Bank of Dallas, Working Papers\",\"volume\":\"50 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2022-08-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"1\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Federal Reserve Bank of Dallas, Working Papers\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.24149/wp2214\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Federal Reserve Bank of Dallas, Working Papers","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.24149/wp2214","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
We show that much of the profitability in equity option return strategies, which try to capture option mispricing by taking exposure to underlying volatility, can be explained by an IPCA model. The alpha reduction, relative to competing static factor models, is between 50% and 75% depending on the computing model and the type of option position.
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