Cross-section of option returns and volatility

被引：141

作者：

Goyal, Amit ^{[2
]}

Saretto, Alessio ^{[1
]}

机构：

[1] Purdue Univ, Krannert Sch Management, W Lafayette, IN 47907 USA

[2] Emory Univ, Goizueta Business Sch, Atlanta, GA 30322 USA

来源：

JOURNAL OF FINANCIAL ECONOMICS | 2009年 / 94卷 / 02期

关键词：

Option returns; Historical volatility; Implied volatility; Overreaction; BID-ASK SPREADS; RISK; INFORMATION; VALUATION; SKEWNESS; PRICE; COMPETITION; ARBITRAGE; BEHAVIOR;

D O I：

10.1016/j.jfineco.2009.01.001

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We study the cross-section of stock option returns by sorting stocks on the difference between historical realized volatility and at-the-money implied volatility. We find that a zero-cost trading strategy that is long (short) in the portfolio with a large positive (negative) difference between these two volatility measures produces an economically and statistically significant average monthly return. The results are robust to different market conditions, to stock risks-characteristics, to various industry groupings, to option liquidity characteristics, and are not explained by usual risk factor models. (C) 2009 Elsevier B.V. All rights reserved.

引用

页码：310 / 326

页数：17

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