横截面外汇期权回报中的常见风险因素

IF 5.6 2区经济学 Q1 BUSINESS, FINANCE

Review of Finance Pub Date : 2024-01-20 DOI:10.1093/rof/rfae002

Xuanchen Zhang, Raymond H Y So, Tarik Driouchi

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引用次数: 0

摘要

我们确定了一份包含 38 个特征的综合清单，用于预测横截面外汇期权收益。我们发现，长期跨式动量、隐含波动率和流动性不足这三个因素可以产生经济上和统计上显著的风险溢价，而其他回报预测因素无法解释这种风险溢价。同时，在考虑了外汇期权三因素模型后，其他特征的可预测性变得不显著。通过一系列稳健性测试，包括不同的数据来源、替代期权策略、多样化效应、自引导和省略危机年份，证实了三因素的重要性。

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Common Risk Factors in Cross-Sectional FX Options Returns

We identify a comprehensive list of thirty-eight characteristics for predicting cross-sectional FX options returns. We find that three factors—long-term straddle momentum, implied volatility, and illiquidity—can generate economically and statistically significant risk premia not explained by other return predictors. Meanwhile, the predictability of the other characteristics becomes insignificant after accounting for the FX option three-factor model. The significance of the three factors is confirmed through a series of robustness tests covering different data sources, alternative options strategies, diversification effects, bootstrapping, and omitting crisis years.

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来源期刊

Review of Finance Multiple-

CiteScore

7.80

自引率

2.30%

发文量

期刊介绍： The Review of Finance, the official journal of the European Finance Association, aims at a wide circulation and visibility in the finance profession. The journal publishes high-quality papers in all areas of financial economics, both established and newly developing fields: • •Asset pricing •Corporate finance •Banking and market microstructure •Law and finance •Behavioral finance •Experimental finance Review of Finance occasionally publishes special issues on timely topics, including selected papers presented at the meetings of the European Finance Association or at other selected conferences in the field.