The Joint Cross Section of Stocks and Options

• 成果类型: Article
• 署名作者: An, Byeong-Je; Ang, Andrew; Bali, Turan G.; Cakici, Nusret
• 署名单位: Columbia University; National Bureau of Economic Research; Georgetown University; Fordham University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12181
• 发表日期: 2014
• 页码: 2279-2338
• 关键词: RISK-NEUTRAL SKEWNESS; Price discovery; MARKET; INFORMATION; volatility; volume; returns; equilibrium; performance; arbitrage

摘要

Stocks with large increases in call (put) implied volatilities over the previous month tend to have high (low) future returns. Sorting stocks ranked into decile portfolios by past call implied volatilities produces spreads in average returns of approximately 1% per month, and the return differences persist up to six months. The cross section of stock returns also predicts option implied volatilities, with stocks with high past returns tending to have call and put option contracts that exhibit increases in implied volatility over the next month, but with decreasing realized volatility. These predictability patterns are consistent with rational models of informed trading.