Measuring Equity Risk with Option-implied Correlations

• 成果类型: Article
• 署名作者: Buss, Adrian; Vilkov, Grigory
• 署名单位: Goethe University Frankfurt; Goethe University Frankfurt
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhs087
• 发表日期: 2012
• 页码: 3113
• 关键词: SYSTEMATIC-RISK; STOCK; volatility; returns; assets; prices; BETAS; tests

摘要

We use forward-looking information from option prices to estimate option-implied correlations and to construct an option-implied predictor of factor betas. With our implied market betas, we find a monotonically increasing risk-return relation, not detectable with standard rolling-window betas, with the slope close to the market excess return. Our implied betas confirm a risk-return relation consistent with linear factor models because, when compared to other beta approaches: (i) they are better predictors of realized betas, and (ii) they exhibit smaller and less systematic prediction errors. The predictive power of our betas is not related to known relations between option-implied characteristics and returns.