Why does options market information predict stock returns?

• 成果类型: Article
• 署名作者: Muravyev, Dmitriy; Pearson, Neil D.; Pollet, Joshua M.
• 署名单位: University of Illinois System; University of Illinois Urbana-Champaign; Michigan State University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2025.104153
• 发表日期: 2025
• 关键词: Equity options; Put-call parity; Implied volatility spread; Implied volatility skew; Stock borrow fee; Stock lending fee

摘要

Several influential studies show that transformations of implied volatilities calculated from options prices predict stock returns. This predictability is puzzling because market participants readily observe options prices. We find that this predictability is consistent with implied volatilities reflecting stock borrow fees that are known to predict stock returns. We derive a formula relating the option-implied volatility spread to the borrow fee. Motivated by this relation, we show that the return predictability from implied volatility spread and skew decreases by at least two-thirds if high-fee stocks are excluded. The patterns for other predictors computed from option implied volatilities are similar.