Expected option returns

• 成果类型: Article
• 署名作者: Coval, JD; Shumway, T
• 署名单位: University of Michigan System; University of Michigan
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/0022-1082.00352
• 发表日期: 2001
• 页码: 983-1009
• 关键词: volatility; portfolio; prices

摘要

This paper examines expected option returns in the context of mainstream asset-pricing theory. Under mild assumptions, expected call returns exceed those of the underlying security and increase with the strike price. Likewise, expected put returns are below the risk-free rate and increase with the strike price. S&P index option returns consistently exhibit these characteristics. Under stronger assumptions, expected option returns vary linearly with option betas. However, zero-beta, at-the-money straddle positions produce average losses of approximately three percent per week. This suggests that some additional factor, such as systematic stochastic volatility, is priced in option returns.