https://scholars.lib.ntu.edu.tw/handle/123456789/414486
標題: | Option-implied equity risk and the cross section of stock returns | 作者: | Chen T.-F. Chung S.-L. Tsai W.-C. |
公開日期: | 2016 | 卷: | 72 | 期: | 6 | 起(迄)頁: | 42-55 | 來源出版物: | Financial Analysts Journal | 摘要: | 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 |
顯示於: | 財務金融學系 |
在 IR 系統中的文件,除了特別指名其著作權條款之外,均受到著作權保護,並且保留所有的權利。