What Does Risk-Neutral Skewness Tell Us About Future Stock Returns?

• 成果类型: Article
• 署名作者: Stilger, Przemyslaw S.; Kostakis, Alexandros; Poon, Ser-Huang
• 署名单位: University of Manchester
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2015.2379
• 发表日期: 2017
• 页码: 1814-1834
• 关键词: option-implied information; risk-neutral skewness; hedging pressure; Overvaluation; short-selling constraints

摘要

This study documents a positive relationship between the option-implied riskneutral skewness (RNS) of individual stock returns' distribution and future realized stock returns during the period 1996-2012. A strategy that goes long the quintile portfolio with the highest RNS stocks and short the quintile portfolio with the lowest RNS stocks yields a Fama-French-Carhart alpha of 55 basis points per month (t-statistic of 2.47). The significant underperformance of the portfolio with the most negative RNS stocks is driven by those stocks that are also perceived as relatively overpriced according to a series of overvaluation proxies and are too costly or too risky to sell short, thereby hindering the price correction mechanism. Our findings indicate that a highly negative RNS value, when reflecting high hedging demand for options by investors who perceive the underlying stock as relatively overpriced but hard to sell short, is a robust signal of significant future stock underperformance.