Consumption risks in option returns

被引：0

作者：

Yang, Shuwen ^{[3
]}

Aretz, Kevin ^{[1
]}

Liu, Hening ^{[1
,2
]}

Zhang, Yuzhao ^{[4
]}

机构：

[1] Univ Manchester, Alliance Manchester Business Sch, Accounting & Finance Grp, Booth St West, Manchester M15 6PB, England

[2] China Univ Min & Technol, Sch Econ & Management, 1 Daxue Rd, Xuzhou 221116, PR, Peoples R China

[3] Tsinghua Univ, PBC Sch Finance, 43 Chengfu Rd, Beijing, Peoples R China

[4] AllianceBernstein L P, New York, NY 10105 USA

来源：

JOURNAL OF EMPIRICAL FINANCE | 2022年 / 69卷

关键词：

Consumption growth; Option returns; Recursive utility; Volatility risk; CROSS-SECTION; VOLATILITY; EQUILIBRIUM; PREMIA; MODEL;

D O I：

10.1016/j.jempfin.2022.10.001

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We offer evidence that exposures to consumption growth and consumption volatility are significantly priced in the cross-section of delta-hedged option returns. Consumption growth commands a positive risk premium, whereas consumption volatility commands a negative risk premium. Our results suggest that consumption risk exposures provide rational foundations for well-known relations between options moneyness or idiosyncratic underlying-stock volatility and the cross-section of delta-hedged option returns. Furthermore, those risk premiums can also price stocks. In a representative-agent economy with recursive preferences, our results suggest that investors prefer early resolution of uncertainty.

引用

页码：285 / 302

页数：18

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