套利回收

IF 10.4 1区经济学 Q1 BUSINESS, FINANCE

Journal of Financial Economics Pub Date : 2024-11-08 DOI:10.1016/j.jfineco.2024.103969

Ferenc Horvath

{"title":"套利回收","authors":"Ferenc Horvath","doi":"10.1016/j.jfineco.2024.103969","DOIUrl":null,"url":null,"abstract":"<div><div>We develop a novel recovery theorem based on no-arbitrage principles. To implement our Arbitrage-Based Recovery Theorem empirically, one needs to observe the Arrow–Debreu prices only for one single maturity. We perform several different density tests and mean prediction tests using more than 26 years of S&P 500 options data, and we find evidence that our method can correctly recover the probability distribution of the S&P 500 index return on a monthly horizon, despite the presence of a non-trivial permanent SDF component.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"163 ","pages":"Article 103969"},"PeriodicalIF":10.4000,"publicationDate":"2024-11-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Arbitrage-based recovery\",\"authors\":\"Ferenc Horvath\",\"doi\":\"10.1016/j.jfineco.2024.103969\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><div>We develop a novel recovery theorem based on no-arbitrage principles. To implement our Arbitrage-Based Recovery Theorem empirically, one needs to observe the Arrow–Debreu prices only for one single maturity. We perform several different density tests and mean prediction tests using more than 26 years of S&P 500 options data, and we find evidence that our method can correctly recover the probability distribution of the S&P 500 index return on a monthly horizon, despite the presence of a non-trivial permanent SDF component.</div></div>\",\"PeriodicalId\":51346,\"journal\":{\"name\":\"Journal of Financial Economics\",\"volume\":\"163 \",\"pages\":\"Article 103969\"},\"PeriodicalIF\":10.4000,\"publicationDate\":\"2024-11-08\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Financial Economics\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S0304405X24001922\",\"RegionNum\":1,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Financial Economics","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S0304405X24001922","RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}

引用次数: 0

摘要

我们根据无套利原则提出了一个新颖的恢复定理。要根据经验实现我们的基于套利的恢复定理，我们只需要观察一个单一到期日的 Arrow-Debreu 价格。我们使用超过 26 年的 S&P 500 期权数据进行了几种不同的密度测试和均值预测测试，我们发现有证据表明，尽管存在非微小的永久 SDF 成分，我们的方法仍能正确恢复每月 S&P 500 指数收益的概率分布。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

Arbitrage-based recovery

We develop a novel recovery theorem based on no-arbitrage principles. To implement our Arbitrage-Based Recovery Theorem empirically, one needs to observe the Arrow–Debreu prices only for one single maturity. We perform several different density tests and mean prediction tests using more than 26 years of S&P 500 options data, and we find evidence that our method can correctly recover the probability distribution of the S&P 500 index return on a monthly horizon, despite the presence of a non-trivial permanent SDF component.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

Journal of Financial Economics Multiple-

CiteScore

15.80

自引率

4.50%

发文量

192

审稿时长

37 days

期刊介绍： The Journal of Financial Economics provides a specialized forum for the publication of research in the area of financial economics and the theory of the firm, placing primary emphasis on the highest quality analytical, empirical, and clinical contributions in the following major areas: capital markets, financial institutions, corporate finance, corporate governance, and the economics of organizations.