Financial Analysts Journal· VOL72,NO.6· November/December 2016.

期权隐含权益风险和股票回报横截面

作者：Te-Feng Chen (Hong Kong Polytechnic University), San-Lin Chung (National Taiwan University), Wei-Che Tsai (National Sun Yat-sen University)

摘要：在我们的研究中，我们利用期权价格信息的前瞻性来估计股票的系统风险，同时控制特质偏度的影响。实证结果表明期权隐含的beta估计与随后的股票收益之间存在显着的正相关关系。根据我们的beta估计，短期投资组合的平均每月收益率为0.96%。我们还发现，期权隐含beta能预测未来实现的beta，期权隐含beta的风险溢价与未来市场回报正相关，并包含有关未来宏观经济变量的信息。

Option-Implied Equity Risk and the Cross Section of Stock Returns

Te-Feng Chen (Hong Kong Polytechnic University), San-Lin Chung (National Taiwan University), Wei-Che Tsai (National Sun Yat-sen University)

ABSTRACT

In our study, we take advantage of the forward-looking nature of information in option prices to estimate systematic equity risk while controlling for the effect of idiosyncratic skewness. Empirical results show a significantly positive relationship between the option-implied beta estimate and subsequent stock returns. A long–short portfolio based on our beta estimate earned an average monthly return of 0.96%. We also find that the option-implied beta predicts future realized betas and that the risk premium on the option-implied beta is positively associated with future market returns and contains information about future macroeconomic variables.

原文链接： http://dx.doi.org/10.2469/faj.v72.n6.2

翻译：赵胜旺