Option gamma and stock returns

IF 2.1 2区 经济学 Q2 BUSINESS, FINANCE Journal of Empirical Finance Pub Date : 2023-11-08 DOI:10.1016/j.jempfin.2023.101442
Amar Soebhag
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Abstract

Stocks with high net gamma exposure systematically underperform stocks with low net gamma exposure. This effect is distinct from other well-known return predictors, and survives many robustness checks. We show that stocks with low net gamma exposure negatively predict future realized volatility, and argue that investors command a risk premium to hold low net gamma exposure stocks, which are riskier. Lastly, we show that the volatility predictability stems from a non-informational channel, and not from private information.

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期权γ和股票收益
高净伽马暴露的股票系统性地表现低于低净伽马暴露的股票。这种效应不同于其他众所周知的回报预测因子,并且经受住了许多稳健性检查。我们表明,低净伽马暴露的股票负向预测未来的实现波动率,并认为投资者要求风险溢价持有低净伽马暴露的股票,这是风险更高的。最后,我们证明了波动性的可预测性来自非信息渠道,而不是来自私有信息。
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来源期刊
CiteScore
3.40
自引率
3.80%
发文量
59
期刊介绍: The Journal of Empirical Finance is a financial economics journal whose aim is to publish high quality articles in empirical finance. Empirical finance is interpreted broadly to include any type of empirical work in financial economics, financial econometrics, and also theoretical work with clear empirical implications, even when there is no empirical analysis. The Journal welcomes articles in all fields of finance, such as asset pricing, corporate finance, financial econometrics, banking, international finance, microstructure, behavioural finance, etc. The Editorial Team is willing to take risks on innovative research, controversial papers, and unusual approaches. We are also particularly interested in work produced by young scholars. The composition of the editorial board reflects such goals.
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