Zhen Cao, Surya Chelikani, Osman Kilic, Xuewu (Wesley) Wang
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引用次数: 0
Abstract
Stocks can be mispriced for at least two reasons: value-relevant information is not timely incorporated or investor sentiment can induce mispricing. Using the mispricing measure proposed by Stambaugh, Yu, and Yuan (2015), we show that informed trading in the options market, proxied by the implied volatility spread, can substantially alleviate stock mispricing. Higher implied volatility spread reliably predicts subsequently lower stock mispricing after controlling for an array of economic variables including firm size, illiquidity, idiosyncratic volatility, institutional ownership, and investor’s divergence of opinions. In addition, this effect is more pronounced when the options trading volume is higher, consistent with the notion that higher options trading volume provides better camouflage for informed trading in the spirit of Kyle (1985). Our findings highlight the importance of information incorporation to reduce asset mispricing. We further show that a self-financing monthly portfolio that goes long on most underpriced stocks and short on most overpriced stocks when the implied volatility spread is the lowest yields statistically and economically significant abnormal returns.
摘要股票的错误定价至少有两个原因:与价值相关的信息没有及时纳入，或者投资者情绪可能导致错误定价。使用Stambaugh, Yu, and Yuan(2015)提出的错误定价度量，我们表明期权市场的知情交易，以隐含波动率价差为代表，可以大大缓解股票的错误定价。在控制了包括公司规模、非流动性、特殊波动率、机构所有权和投资者意见分歧在内的一系列经济变量后，较高的隐含波动率价差可靠地预测了随后较低的股票错误定价。此外，当期权交易量较高时，这种效应更为明显，这与Kyle(1985)的观点一致，即较高的期权交易量为知情交易提供了更好的伪装。我们的研究结果强调了信息整合对于减少资产错误定价的重要性。我们进一步表明，当隐含波动率价差是最低时，一个自融资的月度投资组合做多大多数价格过低的股票，做空大多数价格过高的股票，会产生统计上和经济上显著的异常收益。
期刊介绍：
In Journal of Behavioral Finance , leaders in many fields are brought together to address the implications of current work on individual and group emotion, cognition, and action for the behavior of investment markets. They include specialists in personality, social, and clinical psychology; psychiatry; organizational behavior; accounting; marketing; sociology; anthropology; behavioral economics; finance; and the multidisciplinary study of judgment and decision making. The journal will foster debate among groups who have keen insights into the behavioral patterns of markets but have not historically published in the more traditional financial and economic journals. Further, it will stimulate new interdisciplinary research and theory that will build a body of knowledge about the psychological influences on investment market fluctuations. The most obvious benefit will be a new understanding of investment markets that can greatly improve investment decision making. Another benefit will be the opportunity for behavioral scientists to expand the scope of their studies via the use of the enormous databases that document behavior in investment markets.
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