股票可预测性之谜的理性金融学解释

IF 1.2 Q3 BUSINESS, FINANCE
Abootaleb Shirvani, Svetlozar T. Rachev, Frank J. Fabozzi
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引用次数: 0

摘要

我们解决了股票可预测性难题,这是行为金融学经常讨论的股市难题。我们的方法在理性金融学中建立了一个统计模型,避免了对行为金融学假设的依赖,并将股票回报可预测性纳入了布莱克-斯科尔斯期权定价框架。实证分析的重点是期权交易者和现货交易者对股票价格的可预测性,并引入了我们称之为 "隐含超额可预测性 "的前瞻性指标。结果表明,期权交易者对股票收益的可预测性与资金量呈正相关,而对现货交易者来说,这种关系是反向的。这些研究结果表明,现货交易者和期权交易者对股票价格的预测能力可能不对称。此外,我们还证明了将股票收益预测性纳入期权定价公式的重要性,尤其是对于执行价格与股票价格相差很大的期权。相反,当货币性接近统一时,可预测性不会被纳入期权定价,这表明现货和期权交易者之间的信息是平等的。对波动率测量方法的比较揭示了隐含方差和实现方差或方差风险溢价之间的差异,它们是股票收益的潜在预测因素。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
A rational finance explanation of the stock predictability puzzle
We address the stock predictability puzzle, a challenge in the stock market often discussed in behavioral finance. Our approach formulates a statistical model within rational finance, avoiding reliance on behavioral finance assumptions, and integrates stock return predictability into the Black–Scholes option pricing framework. Empirical analysis focuses on the predictability of stock prices by option and spot traders, introducing a forward‐looking measure we term “implied excess predictability.” Results show that option traders' predictability of stock returns positively correlates with moneyness, whereas for spot traders, this relationship is inverse. These findings suggest a potential asymmetry in stock price predictability between spot and option traders. Additionally, we demonstrate the importance of incorporating stock return predictability into option pricing formulas, particularly for options with strike prices significantly different from the stock price. Conversely, when moneyness is close to unity, predictability is not integrated into option pricing, indicating equal information among spot and option traders. Comparison of volatility measures reveals the difference between implied and realized variances or variance risk premia as potential predictors of stock returns.
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来源期刊
Review of Financial Economics
Review of Financial Economics BUSINESS, FINANCE-
CiteScore
2.80
自引率
0.00%
发文量
26
期刊介绍: The scope of the Review of Financial Economics (RFE) is broad. The RFE publishes original research in finance (e.g. corporate finance, investments, financial institutions and international finance) and economics (e.g. monetary theory, fiscal policy, and international economics). It specifically encourages submissions that apply economic principles to financial decision making. For example, while RFE will publish papers which study the behavior of security prices and those which provide analyses of monetary and fiscal policies, it will offer a special forum for articles which examine the impact of macroeconomic factors on the behavior of security prices.
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