Publikation:

The Puzzle of Index Option Returns

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Constantinides_248548.pdf
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2013

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Constantinides, George M.
Savov, Alexi

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http://nbn-resolving.de/urn:nbn:de:bsz:352-248548
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https://doi.org/10.1093/rapstu/rat004
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Review of Asset Pricing Studies. 2013, 3(2), pp. 229-257. ISSN 2045-9920. eISSN 2045-9939. Available under: doi: 10.1093/rapstu/rat004

Zusammenfassung

We construct a panel of S&P 500 Index call and put option portfolios, daily adjusted to maintain targeted maturity, moneyness, and unit market beta, and test multi-factor pricing models. The standard linear factor methodology is applicable because the monthly portfolio returns have low skewness and are close to normal. We hypothesize that any one of crisis-related factors incorporating price jumps, volatility jumps, and liquidity (along with the market) explains the cross-sectional variation in returns. Our hypothesis is not rejected, even when the factor premia are constrained to equal the corresponding premia in the cross-section of equities. The alphas of short-maturity out-of-the-money puts become economically and statistically insignificant.

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ISO 690CONSTANTINIDES, George M., Jens JACKWERTH, Alexi SAVOV, 2013. The Puzzle of Index Option Returns. In: Review of Asset Pricing Studies. 2013, 3(2), pp. 229-257. ISSN 2045-9920. eISSN 2045-9939. Available under: doi: 10.1093/rapstu/rat004
BibTex
@article{Constantinides2013Puzzl-24854,
  year={2013},
  doi={10.1093/rapstu/rat004},
  title={The Puzzle of Index Option Returns},
  number={2},
  volume={3},
  issn={2045-9920},
  journal={Review of Asset Pricing Studies},
  pages={229--257},
  author={Constantinides, George M. and Jackwerth, Jens and Savov, Alexi}
}
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