微笑曲線預測股票未來報酬之新發現

Abstract

本論文探究選擇權市場與股票市場的連動性，過去文獻發現個股選擇權的隱含波動度曲線中的斜率(SKEW)能夠預測未來該個股股票的報酬。透過衡量買權與賣權之間的波動度差異，可以預測標的個股之未來報酬，其中賣權的部分又可以分為價平賣權與價外賣權兩者來探討。本論文整理出過去文獻中出現有關微笑曲線斜率的衡量方法，且更進一步地加以延伸使用delta來判斷價內外程度，並分析在不同樣本期間下，單一指標表現的一致性。接著以不同的SKEW衡量方法建構混和交易策略，來預測標的股票之未來報酬及異常報酬，並檢視混合交易策略於不同市場狀態下之表現。我們發現個股選擇權的公開資訊並不能及時地反映到股票市場上，而使得選擇權市場對股票市場具有預測性。

The shape of the volatility smirk has significant cross-sectional predictive power for future equity returns. Future returns are linked to the discrepancy between call and put volatilities of options and to the left side of the volatility skew, calculated as the difference between out-of-the-money and at-the-money puts. In this paper, we sort out the slope of the volatility curve that appears in the previous literature, furthermore we use delta to determine whether option is out of the money or at the money. And analyze the performance of each measure in the different samples time series. Strategies based on several option measures can predict returns and alphas on the underlying stock in various market conditions. The findings herein suggest that information diffuses gradually from the option market to the underlying stock market. It also suggests that informed traders trade in the options market and that the stock market is slow to incorporate information from the options market.