Fundamental Analysis and Option Returns

Theodore Goodman; Monica Neamtiu; X. Frank Zhang

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Fundamental Analysis and Option Returns

机译：基本面分析和期权收益

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This article investigates whether fundamental volatility information is appropriately priced in the options market. We find that fundamental signals exhibit incremental predictive power with respect to future option returns above and beyond what is captured by implied and historical stock volatility, suggesting that the options market does not fully incorporate fundamental information into option prices. Transaction costs substantially reduce the overall profitability of hedge strategies that exploit only the fundamental volatility information in these accounting signals; however, fundamental signals provide a useful complement for strategies based on historical volatility.

机译：本文研究了期权市场中基本波动率信息的定价是否适当。我们发现，基本信号相对于隐含的和历史的股票波动所捕获的远期期权收益，具有相对于未来期权收益的增量预测能力，这表明期权市场并未将基本信息完全纳入期权价格中。交易成本大大降低了仅利用这些会计信号中基本波动性信息的对冲策略的整体获利能力；然而，基本信号为基于历史波动性的策略提供了有用的补充。

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来源
《Journal of accounting, auditing & finance》 |2018年第1期|72-97|共26页
作者
Theodore Goodman; Monica Neamtiu; X. Frank Zhang;
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作者单位

Purdue University, West Lafayette, IN, USA;

Baruch College, New York, NY, USA;

Yale University, New Haven, CT, USA;

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原文格式 PDF
正文语种 eng
中图分类
关键词
fundamental analysis; return; fundamental volatility; accounting signals;

机译：基本面分析;返回;基本波动;会计信号;

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Fundamental Analysis and Option Returns

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