作者
Amit Goyal, Alessio Saretto
发表日期
2009/11/30
期刊
Journal of Financial Economics
卷号
94
期号
2
页码范围
310-326
出版商
North-Holland
简介
We study the cross-section of stock option returns by sorting stocks on the difference between historical realized volatility and at-the-money implied volatility. We find that a zero-cost trading strategy that is long (short) in the portfolio with a large positive (negative) difference between these two volatility measures produces an economically and statistically significant average monthly return. The results are robust to different market conditions, to stock risks-characteristics, to various industry groupings, to option liquidity characteristics, and are not explained by usual risk factor models.
引用总数
学术搜索中的文章
A Goyal, A Saretto - Journal of Financial Economics, 2009
A Goyal, A Saretto - Journal of Financial Economics, 2009
A Goyal, A Saretto - Available at SSRN 889947, 2007