中山管理評論
 最新消息  全文瀏覽 加入會員 忘記密碼  立即訂閱  立即投稿
 《中山管理評論》發行單位  《中山管理評論》發行宗旨  《中山管理評論》編輯群簡介  《中山管理評論》投稿說明  《中山管理評論》稿件格式說明  《中山管理評論》著作權聲明書  《中山管理評論》訂閱說明  《中山管理評論》預刊文章  《中山管理評論》各期專刊介紹  線上付款  出版倫理與出版弊端聲明

  期刊全文閱覽

中山管理評論  2025/3

第33卷第1期  p.139-161

DOI:10.6160/SYSMR.202503_33(1).0004

題目
調整後偏態溢酬與未來股價報酬
A Modified Skewness Premium and Future Stock Returns
(172_M67db89da75a59_Full.pdf 5,127KB)
作者
李世偉、石百達、顏廣杰/國泰人壽交易部、國立臺灣大學財務金融學系、東吳大學經濟學系
Shih-Wei Lee,Pai-Ta Shih,Kuang-Chieh Yen/

Dealing Department,Cathay Life Insurance Co., Ltd.,Department of Finance, National Taiwan University,Department of Economics, Soochow University

摘要(中文)

本文借鑒Bates (1991) 的思路，構建了一種調整後偏態溢酬測度，並證明 其包含了關於未來股票報酬的資訊內涵。相較於對於美式個股選擇權隱含波動 率的複雜計算不同，這種測度更易於計算和應用。此外，基於調整後偏態溢酬 組成的多空投資組合，其平均每週報酬率為16 個基點（相當於年化報酬率 8.32%），在控制常見風險因素的情況下，其t 統計量為3.82。最後，調整後偏 態溢酬在控制公司特徵後，對未來股票報酬率具有顯著的橫截面預測能力。

(172_M67db89da75a59_Abs.pdf(檔案不存在))
關鍵字(中文)

選擇權價格、偏態、資訊內涵、多空投資組合報酬

摘要(英文)

In the spirit of Bates (1991), we construct a modified skewness premium measure and show that it contains information about future stock returns. Instead of complex calculations of implied volatility for American-style equity options, the modified measure is easily calculated and applied. Moreover, a long-short portfolio formed on the modified skewness premium generates an average weekly return of 16 bps (equal to an annualized return of 8.32%) with a t-statistic of 3.82 controlling for common risk factors. Finally, the modified skewness premium has significant cross-sectional predictive power for future stock returns controlling for firms’ characteristics.

(172_M67db89da75a59_Abs.pdf(檔案不存在))
關鍵字(英文)

Options Price, Skewness, Information, Long-short Portfolio Returns

政策與管理意涵

參考文獻

Amaya, D., Christoffersen, P., Jacobs, K., and Vasquez, A., 2015, “Does Realized Skewness Predict the Cross-section of Equity Returns?” Journal of Financial Economics, Vol. 118, No. 1, 135-167.
Amihud, Y., 2002, “Illiquidity and Stock Returns: Cross-section and Time-series Effects,” Journal of Financial Markets, Vol. 5, No. 1, 31-56.
An, B. J., Ang, A., Bali, T. G., and Cakici, N., 2014, “The Joint Cross Section of Stocks and Options,” Journal of Finance, Vol. 69, No. 5, 2279–2337.
Anghel, D., Caraiani, P., Rosu, A., & Rosu, I., 2022. Asset pricing with systematic skewness: Two decades later. HEC Paris Research Paper, No. FIN-2021-1432.
Bali, T. G. and Hovakimian, A., 2009, “Volatility Spreads and Expected Stock Returns,” Management Science, Vol. 55, No. 11, 1797–1812.
Bates, D. S., 1991, “The Crash of '87: Was It Expected? The Evidence from Options Markets,” Journal of Finance, Vol. 46, No. 3, 1009-1044.
Cao, C., Chen, Z., and Griffin, J. M., 2005, Informational Content of Option Volume prior to Takeovers. Journal of Business, Vol. 78, No. 3, 1073-1109.
Chakravarty, S., Gulen, H., and Mayhew, S., 2004, Informed Trading in Stock and Option Markets. Journal of Finance, Vol. 59, No. 3, 1235-1257.
Collin-Dufresne, P., Fos, V., and Muravyev, D., 2021, “Informed Trading in the Stock Market and Option-price Discovery,” Journal of Financial and Quantitative Analysis, Vol. 56, No. 6, 1945-1984.
Cremers, M. and Weinbaum, D., 2010, “Deviations from Put-call Parity and Stock Return Predictability,” Journal of Financial and Quantitative Analysis, Vol. 45, No. 2, 335-367.
Easley, D., O'hara, M., & Srinivas, P. S., 1998, Option Volume and Stock Prices: Evidence on where Informed Traders Trade. Journal of Finance, Vol. 53, No. 2, 431-465.
Elyasiani, E., Gambarelli, L., and Muzzioli, S., 2020, “Moment Risk Premia and the Cross- section of Stock Returns in the European Stock Market,” Journal of Banking and Finance, Vol. 111, 105732.
Fama, E. F. and MacBeth, J. D., 1973, “Risk, Return, and Equilibrium: Empirical Tests,” Journal of Political Economy, Vol. 81, No. 3, 607-636.
Fajardo, J. and Mordecki, E., 2014, “Skewness Premium with Lévy Processes,” Quantitative Finance, Vol. 14, No. 9, 1619-1626.
Ge, L., Lin T.-C., and Pearson, N. D., 2016, “Why does the Option to Stock Volume Ratio Predict Stock Returns?” Journal of Financial Economics, Vol. 120, No. 3, 601-622.
Goncalves-Pinto, L., Grundy, B. D., Hameed, A., van der Heijden, T., and Zhu, Y., 2020, “Why do Option Prices Predict Stock Returns? The Role of Price Pressure in the Stock Market,” Management Science, Vol. 66, No. 9, 3903-3926.
Harvey, C. R. and Siddique, A., 2000, “Conditional Skewness in Asset Pricing Tests,” Journal of Finance, Vol. 55, No. 3, 1263-1295.
Jegadeesh, N. and Titman, S., 1993, “Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency,” Journal of Finance, Vol. 48, No. 1, 65-91.
Johnson, T. L. and So, E. C., 2012, “The Option to Stock Volume Ratio and Future Returns,” Journal of Financial Economics, Vol. 106, No. 2, 262-286.
Kozhan, R., Neuberger, A., and Schneider, P., 2013, “The Skew Risk Premium in the Equity Index Market,” Review of Financial Studies, Vol. 26, No. 9, 2174-2203.
Kraus, A. and Litzenberger, R. H., 1976, “Skewness preference and the valuation of risk assets,” Journal of Finance, Vol. 31, No. 4, 1085-1100.
Langlois, H., 2020, “Measuring Skewness Premia,” Journal of Financial Economics, Vol. 135, No. 2, 399-424.
Mitton, T. and Vorkink, K., 2007, “Equilibrium Underdiversification and the Preference for Skewness,” Review of Financial Studies, Vol. 20, No. 4, 1255-1288.
Pan, J. and Poteshman, A., 2006, “The Information in Option Volume for Future Stock Prices,” Review of Financial Studies, Vol. 19, No. 3, 871-908.
Roll, R., Schwartz, E., and Subrahmanyam, A., 2010, “O/S: The Relative Trading Activity in Options and Stock,” Journal of Financial Economics, Vol. 96, No. 1, 1-17.
Rubinstein, M. E., 1973, “The Fundamental Theorem of Parameter-preference Security Valuation,” Journal of Financial and Quantitative Analysis, Vol. 8, No. 1, 61-69.
Sheng, H., 2022, “Option Measures and Stock Characteristics,” Finance Research Letters, Vol. 44, 102058.
Xing, Y., Zhang, X., and Zhao, R., 2010, “What does the Individual Option Volatility Smirk Tell us about Future Equity Returns,” Journal of Financial and Quantitative Analysis, Vol. 45, No. 3, 641–662.