| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w19590 |
| 来源ID | Working Paper 19590 |
| The Joint Cross Section of Stocks and Options | |
| Byeong-Je An; Andrew Ang; Turan G. Bali; Nusret Cakici | |
| 发表日期 | 2013-10-31 |
| 出版年 | 2013 |
| 语种 | 英语 |
| 摘要 | Stocks with large increases in call implied volatilities over the previous month tend to have high future returns while stocks with large increases in put implied volatilities over the previous month tend to have low future returns. Sorting stocks ranked into decile portfolios by past call implied volatilities produces spreads in average returns of approximately 1% per month, and the return differences persist up to six months. The cross section of stock returns also predicts option-implied volatilities, with stocks with high past returns tending to have call and put option contracts which exhibit increases in implied volatility over the next month, but with decreasing realized volatility. These predictability patterns are consistent with rational models of informed trading. |
| 主题 | Econometrics ; Estimation Methods ; Financial Economics ; Financial Markets ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w19590 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/577265 |
| 推荐引用方式 GB/T 7714 | Byeong-Je An,Andrew Ang,Turan G. Bali,et al. The Joint Cross Section of Stocks and Options. 2013. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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