Gambling preference and individual equity option returns

• 成果类型: Article
• 署名作者: Byun, Suk-Joon; Kim, Da-Hea
• 署名单位: Korea Advanced Institute of Science & Technology (KAIST); Nanyang Technological University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2016.06.004
• 发表日期: 2016
• 页码: 155-174
• 关键词: Stock options; lottery; skewness preference; Put-call parity; Investor sentiment

摘要

We investigate the relation between the option returns and the underlying stock's lottery like characteristics. Call options written on the most lottery-like stocks underperform otherwise similar call options written on the least lottery-like stocks by 10-20% per month. Moreover, the more lottery-like the underlying stocks, the further and more frequently the options deviate from the put-call parity in the direction induced by overvalued calls. Furthermore, the lottery-like characteristic effect is stronger during periods of high investor sentiment. The results suggest that optimism-induced gambling preference causes lottery like options to be overvalued. (C) 2016 Elsevier B.V. All rights reserved.