Expected Option Returns  

Oleh:

Coval, Joshua D. ; Shumway, Tyler

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 56 no. 3 (2001), page 983-1009.
Topik: OPTIONS; studies; expected returns; options markets; put & cal options; beta; statistical analysis
Fulltext: p 983.pdf (176.81KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

This paper examines expected option returns in the context of mainstream asset - pricing theory. Under mild assumptions, expected call returns exceeded those of the underlying security and increase with the strike price. Likewise, expected put returns are below the risk-free rate and increase with the strike price. S&P index option returns consistently exhibit these characteristics. Under stronger assumptions, expected option returns vary linearly with option betas. However, zero - beta, at - the - money straddle positions produce average losses of approximately 3% per week. This suggests that some additional factor, such as systematic stochastic volatility, is priced in option returns.

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