Cross-section of option returns and volatility

• 成果类型: Article
• 署名作者: Goyal, Amit; Saretto, Alessio
• 署名单位: Purdue University System; Purdue University; Emory University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2009.01.001
• 发表日期: 2009
• 页码: 310-326
• 关键词: Option returns; Historical volatility; implied volatility; overreaction

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.