Option Momentum

• 成果类型: Article
• 署名作者: Heston, Steven L.; Jones, Christopher S.; Khorram, Mehdi; Li, Shuaiqi; Mo, Haitao
• 署名单位: University System of Maryland; University of Maryland College Park; University of Southern California; Rochester Institute of Technology; City University of Hong Kong; University of Kansas; University of Kansas
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13279
• 发表日期: 2023
• 页码: 3141-3192
• 关键词: cross-section; STOCK; MARKET; returns; RISK; bond; autocorrelation; underreaction; profitability; overreaction

摘要

This paper investigates the performance of option investments across different stocks by computing monthly returns on at-the-money straddles on individual equities. We find that options with high historical returns continue to significantly outperform options with low historical returns over horizons ranging from 6 to 36 months. This phenomenon is robust to including out-of-the-money options or delta-hedging the returns. Unlike stock momentum, option return continuation is not followed by long-run reversal. Significant returns remain after factor risk adjustment and after controlling for implied volatility and other characteristics. Across stocks, trading costs are unrelated to the magnitude of momentum profits.