{"title":"股票期权收益的共同因素","authors":"A. Horenstein, Aurelio Vasquez, Xiao Xiao","doi":"10.2139/ssrn.3290363","DOIUrl":null,"url":null,"abstract":"This paper studies the factor structure of the cross-section of delta-hedged equity option returns. We find that a four-factor model explains the cross-section and time-series of equity option returns. Out of the four factors, three are characteristic based factors from the long-short option portfolios based on firm size, idiosyncratic volatility, and the difference between implied and historical volatilities. The fourth factor is the market volatility risk factor proxied by the delta-hedged option return of the the S&P 500 index.","PeriodicalId":293888,"journal":{"name":"Econometric Modeling: Derivatives eJournal","volume":"45 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2020-09-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"6","resultStr":"{\"title\":\"Common Factors in Equity Option Returns\",\"authors\":\"A. Horenstein, Aurelio Vasquez, Xiao Xiao\",\"doi\":\"10.2139/ssrn.3290363\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This paper studies the factor structure of the cross-section of delta-hedged equity option returns. We find that a four-factor model explains the cross-section and time-series of equity option returns. Out of the four factors, three are characteristic based factors from the long-short option portfolios based on firm size, idiosyncratic volatility, and the difference between implied and historical volatilities. The fourth factor is the market volatility risk factor proxied by the delta-hedged option return of the the S&P 500 index.\",\"PeriodicalId\":293888,\"journal\":{\"name\":\"Econometric Modeling: Derivatives eJournal\",\"volume\":\"45 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2020-09-23\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"6\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Econometric Modeling: Derivatives eJournal\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.3290363\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Econometric Modeling: Derivatives eJournal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3290363","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
This paper studies the factor structure of the cross-section of delta-hedged equity option returns. We find that a four-factor model explains the cross-section and time-series of equity option returns. Out of the four factors, three are characteristic based factors from the long-short option portfolios based on firm size, idiosyncratic volatility, and the difference between implied and historical volatilities. The fourth factor is the market volatility risk factor proxied by the delta-hedged option return of the the S&P 500 index.
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