非交易期期权错误定价

C. S. Jones, Joshua Shemesh
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引用次数: 13

摘要

我们发现,期权收益在非交易时段明显较低,而非交易时段绝大多数是周末。我们的证据表明,非交易收益不能用风险来解释,而是由于对股票收益方差的非平滑性处理不当而导致的广泛和高度持续的期权错误定价的结果。影响的大小意味着,涉及期权价格的广泛金融研究应该更普遍地考虑非交易效应和方差的非平滑性。我们的研究进一步表明,替代行业实践如何以有意义的方式提高期权市场的效率。
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Option Mispricing Around Nontrading Periods
We find that option returns are significantly lower over nontrading periods, the vast majority of which are weekends. Our evidence suggests that nontrading returns cannot be explained by risk, but are rather the result of widespread and highly persistent option mispricing driven by the incorrect treatment of non-smoothness in stock return variance. The size of the effect implies that the broad spectrum of finance research involving option prices should account for nontrading effects and non-smoothness in variance more generally. Our study further suggests how alternative industry practices could improve the efficiency of option markets in a meaningful way.
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