Publication in refereed journal
香港中文大学研究人员 ( 现职)
| 曹杰教授 (金融学系) |
全文
| 数位物件识别号 (DOI) http://dx.doi.org/10.1016/j.jfineco.2012.11.010 |
引用次数
Web of Sciencehttp://aims.cuhk.edu.hk/converis/portal/Publication/14WOS source URL
其它资讯
摘要This paper presents a robust new finding that delta-hedged equity option return decreases monotonically with an increase in the idiosyncratic volatility of the underlying stock. This result cannot be explained by standard risk factors. It is distinct from existing anomalies in the stock market or volatility-related option mispricing. It is consistent with market imperfections and constrained financial intermediaries. Dealers charge a higher premium for options on high idiosyncratic volatility stocks due to their higher arbitrage costs. Controlling for limits to arbitrage proxies reduces the strength of the negative relation between delta-hedged option return and idiosyncratic volatility by about 40%. Published by Elsevier B.V.
着者Cao J, Han B
期刊名称Journal of Financial Economics
出版年份2013
月份4
日期1
卷号108
期次1
出版社ELSEVIER SCIENCE SA
页次231 - 249
国际标準期刊号0304-405X
语言英式英语
关键词Idiosyncratic volatility; Limits to arbitrage; Market imperfections; Option return
Web of Science 学科类别Business & Economics; Business, Finance; BUSINESS, FINANCE; Economics; ECONOMICS
