https://scholars.lib.ntu.edu.tw/handle/123456789/414486
Title: | Option-implied equity risk and the cross section of stock returns | Authors: | Chen T.-F. Chung S.-L. Tsai W.-C. |
Issue Date: | 2016 | Journal Volume: | 72 | Journal Issue: | 6 | Start page/Pages: | 42-55 | Source: | Financial Analysts Journal | 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. ? 2016 CFA Institute. All rights reserved. |
URI: | https://scholars.lib.ntu.edu.tw/handle/123456789/414486 | ISSN: | 0015198X | DOI: | 10.2469/faj.v72.n6.2 |
Appears in Collections: | 財務金融學系 |
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