Why Do Option Prices Predict Stock Returns? The Role of Price Pressure in the Stock Market

• 成果类型: Article
• 署名作者: Goncalves-Pinto, Luis; Grundy, Bruce D.; Hameed, Allaudeen; van der Heijden, Thijs; Zhu, Yichao
• 署名单位: University of New South Wales Sydney; Chinese University of Hong Kong; University of Melbourne; National University of Singapore; Australian National University
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2019.3398
• 发表日期: 2020
• 页码: 3903-3926
• 关键词: price pressure; Put-call parity; Return predictability; Informed trading

摘要

Stock and options markets can disagree about a stock's value because of informed trading in options and/or price pressure in the stock. The predictability of stock returns based on this cross-market discrepancy in values is especially strong when accompanied by stock price pressure, and it does not depend on trading in options. We argue that option-implied prices provide an anchor for fundamental stock values that helps to distinguish stock price movements resulting from pressure versus news. Overall, our results are consistent with stock price pressure being the primary driver of the option pricebased stock return predictability.