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Option Return Predictability
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DOI：10.1093/rfs/hhab067.png)
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We uncover new return predictability in the cross-section of delta-hedged equity options. Expected returns to writing delta-hedged calls are negatively correlated with stock price, profit margin, and firm profitability, but positively correlated with cash holding, cash flow variance, new shares issuance, total external financing, distress risk, and dispersion of analysts' forecasts. Our option portfolio strategies have annual Sharpe ratio above two and remain profitable after transaction costs. Their profits can be explained by two option factors, while equity risk factors have no explanatory power. We find support for several economic channels at work, yet the option return predictability remains puzzling.
Keyword:
G02
G12
G13
期刊
IF:
5.4
论文数:
2.8K
被引数:
3.0W
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引用论文
Financial Intermediaries and the Cross-Section of Asset Returns金融中介机构与资产收益的横截面.png)
JOURNAL OF FINANCE
JOURNAL OF FINANCEIF9.5
PREAI
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