Bid and ask prices of index put options: Which predicts the underlying stock returns?

被引：1

作者：

Chen, Jian ^{[1
]}

Liu, Yangshu ^{[2
]}

机构：

[1] Xiamen Univ, Sch Econ, Dept Finance, Xiamen, Peoples R China

[2] Xiamen Univ, Sch Management, Dept Finance, Xiamen 361005, Peoples R China

来源：

JOURNAL OF FUTURES MARKETS | 2020年 / 40卷 / 09期

基金：

中国国家自然科学基金;

关键词：

implied volatility; option bid price; option ask price; stock return predictability; CROSS-SECTION; EMPIRICAL PERFORMANCE; RISK; VOLATILITY; SAMPLE; MARKET; VOLUME; TESTS;

D O I：

10.1002/fut.22121

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

In this study, we separately estimate the implied volatility from the bid and ask prices of deep out-of-the-money put options on the S&P500 index. We find that the implied volatility of ask prices has stronger predictive power for stock returns than does the implied volatility of bid prices. We identify two sources of the better performance of the ask price implied volatility: one is its stronger predictive power during economic recessions and in the presence of increasing intermediary capital risk, and the other is its richer information about the future market variance risk premium.

引用

页码：1337 / 1353

页数：17

共 33 条

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