Illiquidity Premia in the Equity Options Market

• 成果类型: Article
• 署名作者: Christoffersen, Peter; Goyenko, Ruslan; Jacobs, Kris; Karoui, Mehdi
• 署名单位: University of Toronto; Copenhagen Business School; McGill University; University of Houston System; University of Houston
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhx113
• 发表日期: 2018
• 页码: 811
• 关键词: bid-ask spreads; Expected stock returns; THE-COUNTER MARKETS; TRADING ACTIVITY; liquidity risk; Bond market; securities markets; MAKER INVENTORIES; Order Flow; price

摘要

Standard option valuation models leave no room for option illiquidity premia. Yet we find the risk-adjusted return spread for illiquid over liquid equity options is 3.4% per day for at-the-money calls and 2.5% for at-the-money puts. These premia are computed using option illiquidity measures constructed from intraday effective spreads for a large panel of U.S. equities, and they are robust to different empirical implementations. Our findings are consistent with evidence that market makers in the equity options market hold large and risky net long positions, and positive illiquidity premia compensate them for the risks and costs of these positions.