| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w29369 |
| 来源ID | Working Paper 29369 |
| A Factor Model For Option Returns | |
| Matthias Buechner; Bryan T. Kelly | |
| 发表日期 | 2021-10-18 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 摘要 | Due to their short lifespans and migrating moneyness, options are notoriously difficult to study with the factor models commonly used to analyze the risk-return trade-off in other asset classes. Instrumented principal components analysis solves this problem by tracking contracts in terms of their pricing-relevant characteristics via time-varying latent factor loadings. We find that a model with three latent factors prices the cross-section of option returns and explains more than 85% of the variation in a panel of monthly S&P 500 option returns from 1996 to 2017. In particular, we show that the IPCA factors can be rationalized via an economically plausible three-factor model consisting of a level, slope and skew factor. Finally, out-of-sample trading strategies based on insights from the IPCA model have significant alpha over previously studied option strategies. |
| 主题 | Financial Economics ; Financial Markets ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w29369 |
| 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/587043 |
| 推荐引用方式 GB/T 7714 | Matthias Buechner,Bryan T. Kelly. A Factor Model For Option Returns. 2021. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w29369.pdf（562KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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