Can Equity Option Returns Be Explained by a Factor Model? IPCA Says Yes

• 成果类型: Article
• 署名作者: Goyal, Amit; Saretto, Alessio
• 署名单位: Swiss Finance Institute (SFI); University of Lausanne; Federal Reserve System - USA; Federal Reserve Bank - Dallas
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454; 1465-7368
• DOI: 10.1093/rfs/hhae087
• 发表日期: 2025-06
• 页码: 1783-1821
• 关键词: G11; G12; G13; cross-section; RISK; stocks

摘要

A number of delta-hedged equity option strategies exhibit very large average returns. We show that much of the profitability of these strategies can be explained by an IPCA factor model. The economic magnitude of the return-adjustment produced by IPCA is impressive: even before transaction costs, the average IPCA alpha of 46 long-short trading strategies constructed on previously discovered signals, is close to zero and contrasts with average realized returns of over 80 basis points per month. Our IPCA model can be used as a benchmark for assessing the performance of other option portfolios.