Stock Options as Lotteries

• 成果类型: Article
• 署名作者: Boyer, Brian H.; Vorkink, Keith
• 署名单位: Brigham Young University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12152
• 发表日期: 2014
• 页码: 1485-1527
• 关键词: risk; preference; volatility; skewness; diversification; equilibrium; returns; moments

摘要

We investigate the relationship between ex ante total skewness and holding returns on individual equity options. Recent theoretical developments predict a negative relationship between total skewness and average returns, in contrast to the traditional view that only coskewness is priced. We find, consistent with recent theory, that total skewness exhibits a strong negative relationship with average option returns. Differences in average returns for option portfolios sorted on ex ante skewness range from 10% to 50% per week, even after controlling for risk. Our findings suggest that these large premiums compensate intermediaries for bearing unhedgeable risk when accommodating investor demand for lottery-like options.