| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP6278
|
| DP6278 The Distributional Consequences of Diversity-Enhancing University Admissions Rules |
| Erik Eyster; Jimmy Chan
|
| 发表日期 | 2007-05-04
|
| 出版年 | 2007
|
| 语种 | 英语
|
| 摘要 | This paper studies the returns from investing in index options. Previous research documents significant average option returns, large CAPM alphas, and high Sharpe ratios, and concludes that put options are mispriced. We propose an alternative approach to evaluate the significance of option returns and obtain different conclusions. Instead of using these statistical metrics, we compare historical option returns to those generated by commonly used option pricing models. We find that the most puzzling finding in the existing literature, the large returns to writing out-of-the-money puts, is not even inconsistent with the Black-Scholes model. Moreover, simple stochastic volatility models with no risk premia generate put returns across all strikes that are not inconsistent with the observed data. At-the-money straddle returns are more challenging to understand, and we find that these returns are not inconsistent with explanations such as jump risk premia, Peso problems, and estimation risk. |
| 主题 | Financial Economics
|
| 关键词 | Jump risk premia
Jump-diffusion models
Options returns
Put pricing puzzle
|
| URL | https://cepr.org/publications/dp6278
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
|
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/535121
|
推荐引用方式
GB/T 7714 |
Erik Eyster,Jimmy Chan. DP6278 The Distributional Consequences of Diversity-Enhancing University Admissions Rules. 2007.
|
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
