【JFE】赌博性偏好和个股期权答复率

Journal of Financial Economics， Volume 122， Issue 1， October 2016， Pages 155-174， ISSN 0304-405X

赌博性偏好和个股期权答复率

作家：Suk-Joon Byun (Korea Advanced Institute of Science and Technology， College of Business)， Da-Hea Kim (Nanyang Technological University， College of Business)

选录：咱们磋议了期权的答复率和其见识股票的博彩性特征之间的关连。见识股票博彩性特征最强的看涨期权比见识股票的博彩性特征最弱的看涨期权的发达每月弱10%-20%。况且见识股票的博彩特征越强，由于被高估的看涨期权，期权偏离交易权平价关连（Put-call parity）的经过和频率也越大。此外，在投资者情怀高的时分，在线配资平台这种博彩性特征效应也更强。这些恶果标明由乐不雅带来的对赌博算作的偏好形成了具有博彩性特征的期权被高估。

关节词：股票期权，博彩，偏好的偏度，交易权平价关连，投资者情怀

Gambling preference and individual equity option returns

Suk-Joon Byun (Korea Advanced Institute of Science and Technology， College of Business)， Da-Hea Kim (Nanyang Technological University， College of Business)

ABSTRACT

We investigate the relation between the option returns and the underlying stock's lottery-like characteristics. Call options written on the most lottery-like stocks underperform otherwise similar call options written on the least lottery-like stocks by 10–20% per month. Moreover， the more lottery-like the underlying stocks， the further and more frequently the options deviate from the put–call parity in the direction induced by overvalued calls. Furthermore， the lottery-like characteristic effect is stronger during periods of high investor sentiment. The results suggest that optimism-induced gambling preference causes lottery-like options to be overvalued.

Keywords: Stock options; Lottery; Skewness preference; Put–call parity; Investor sentiment

原文迷惑：http://dx.doi.org/10.1016/j.jfineco.2016.06.004

翻译：吴雨玲

• 个股
• 期权
• 偏好
• JFE
• 赌博