不对称与期权收益截面*

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Financial Markets Pub Date : 2024-11-01 DOI:10.1016/j.finmar.2024.100932

Jianqiu Wang , Ke Wu , Sijie Yang , Dexin Zhou

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引用次数: 0

摘要

我们提出了一种基于概率密度函数的新的上行不对称度量方法，该方法利用了期权收益分布的信息。我们对美国期权数据的分析表明，上行不对称（RML）与随后的期权收益之间存在正的横截面关系。这种关系无法用以往文献中研究的股票或期权特征来解释，也不会在随后几个月发生逆转。此外，这种关系在套利成本较高的公司中更为明显。在控制了历史波动率和滞后隐含波动率之后，RML 可以稳健地预测未来的实现波动率和隐含波动率。

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Asymmetry and the Cross-section of Option Returns

We propose a novel measure of upside asymmetry based on probability density function that utilizes information from the distribution of option returns. Our analysis of U.S. option data reveals a positive cross-sectional relationship between the upside asymmetry (RML) and subsequent option returns. This relationship cannot be explained by stock or option characteristics studied in previous literature and do not reverse in the following months. Additionally, the relationship is stronger among firms with higher costs of arbitrage. RML robustly predicts future realized and implied volatilities after controlling for historical volatility and lagged implied volatility.

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来源期刊

Journal of Financial Markets BUSINESS, FINANCE-

CiteScore

3.40

自引率

3.60%

发文量

期刊介绍： The Journal of Financial Markets publishes high quality original research on applied and theoretical issues related to securities trading and pricing. Area of coverage includes the analysis and design of trading mechanisms, optimal order placement strategies, the role of information in securities markets, financial intermediation as it relates to securities investments - for example, the structure of brokerage and mutual fund industries, and analyses of short and long run horizon price behaviour. The journal strives to maintain a balance between theoretical and empirical work, and aims to provide prompt and constructive reviews to paper submitters.