A Modified Skewness Premium and Future Stock Returns
Other Title
調整後偏態溢酬與未來股價報酬
Journal
中山管理評論
Journal Volume
33
Journal Issue
1
Start Page
139
End Page
161
ISSN
1023-2842
Date Issued
2025-03
Author(s)
Abstract
In the spirit of Bates (1991), we construct a modified skewness premium measure and show that it contains information about future stock returns. Instead of complex calculations of implied volatility for American-style equity options, the modified measure is easily calculated and applied. Moreover, a long-short portfolio formed on the modified skewness premium generates an average weekly return of 16 bps (equal to an annualized return of 8.32%) with a t-statistic of 3.82 controlling for common risk factors. Finally, the modified skewness premium has significant cross-sectional predictive power for future stock returns controlling for firms' characteristics.
本文借鑒Bates（1991）的思路，構建了一種調整後偏態溢酬測度，並證明其包含了關於未來股票報酬的資訊內涵。相較於對於美式個股選擇權隱含波動率的複雜計算不同，這種測度更易於計算和應用。此外，基於調整後偏態溢酬組成的多空投資組合，其平均每週報酬率為16個基點（相當於年化報酬率8.32%），在控制常見風險因素的情況下，其t統計量為3.82。最後，調整後偏態溢酬在控制公司特徵後，對未來股票報酬率具有顯著的橫截面預測能力。
Subjects
Options Price
Skewness
Information
Long-short Portfolio Returns
選擇權價格
偏態
資訊內涵
多空投資組合報酬
Type
journal article