Common Factors in Equity Option Returns
SSRN Electronic Journal(2018)
摘要
This paper studies the factor structure of the cross-section of delta-hedged equity option returns. We find that a four-factor model explains the cross-section and time-series of equity option returns. Out of the four factors, three are characteristic based factors from the long-short option portfolios based on firm size, idiosyncratic volatility, and the difference between implied and historical volatilities. The fourth factor is the market volatility risk factor proxied by the delta-hedged option return of the the S&P 500 index.
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关键词
equity option returns,option returns,factors
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