正常时期和经济衰退时期基于期权的变量和未来股票回报率

IF 6.3 2区 经济学 Q1 BUSINESS, FINANCE Borsa Istanbul Review Pub Date : 2024-10-01 DOI:10.1016/j.bir.2024.09.001
Özgür Şafak Açıkalın, Zeynep Önder
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引用次数: 0

摘要

我们研究了 1996 年至 2015 年期间几个基于期权的变量对在美国交易所交易的可期权股票未来收益的预测。研究发现,在正常时期和经济衰退时期,基于期权的变量是估计未来股票收益的重要因素。通过标的股票的所有看涨期权和看跌期权计算得出的隐含波动率加权平均值之间的价差对未来股票收益率的影响最大。虽然期权模型的均方误差在衰退期明显高于扩张期,但在衰退期和整个样本期,基于期权变量的模型都优于市场模型和法马-法式三因子模型。研究结果表明,与传统模型相比,基于期权的模型更多地纳入了极端事件的信息。
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Option-based variables and future stock returns in normal times and recessions
We examine the prediction of future returns of optionable stocks trading in the US exchanges by several option-based variables for the period between 1996 and 2015. It is found that option-based variables are significant factors in estimating future stock returns in normal periods and during recessions. The spread between weighted averages of implied volatilities calculated with all call and put options of underlying stocks is found to have the highest effect on future stock returns. Although the mean squared errors of the option models are significantly higher during recessions than the expansion periods, the model with option-based variables outperforms the market model and the Fama-French Three Factor Model in both recessions and the whole sample period. The findings suggest that option-based models incorporate information about extreme events more than the traditional models.
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来源期刊
CiteScore
7.60
自引率
3.80%
发文量
130
审稿时长
26 days
期刊介绍: Peer Review under the responsibility of Borsa İstanbul Anonim Sirketi. Borsa İstanbul Review provides a scholarly platform for empirical financial studies including but not limited to financial markets and institutions, financial economics, investor behavior, financial centers and market structures, corporate finance, recent economic and financial trends. Micro and macro data applications and comparative studies are welcome. Country coverage includes advanced, emerging and developing economies. In particular, we would like to publish empirical papers with significant policy implications and encourage submissions in the following areas: Research Topics: • Investments and Portfolio Management • Behavioral Finance • Financial Markets and Institutions • Market Microstructure • Islamic Finance • Financial Risk Management • Valuation • Capital Markets Governance • Financial Regulations
期刊最新文献
Editorial Board What determines the success of equity derivatives markets? A global perspective Linear extrapolation and model-free option implied moments Financial derivative instruments and their applications in Islamic banking and finance: Fundamentals, structures and pricing mechanisms The effects of non-deliverable forward programs of emerging-market central banks: A synthetic control approach
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