Product Market Competition and Option Prices

被引：9
|
作者：
Morellec, Erwan [1 ,2 ,3 ]
Zhdanov, Alexei [4 ]
机构：
[1] Ecole Polytech Fed Lausanne, Extranef 210, CH-1015 Lausanne, Switzerland
[2] Swiss Finance Inst, Zurich, Switzerland
[3] CEPR, London, England
[4] Penn State Univ, Smeal Coll Business, University Pk, PA 16802 USA
来源：
REVIEW OF FINANCIAL STUDIES | 2019年 / 32卷 / 11期
关键词：
CROSS-SECTION; REAL OPTIONS; RISK PREMIA; VOLATILITY; INVESTMENT; DYNAMICS; EQUILIBRIUM; SKEWNESS;
D O I：
10.1093/rfs/hhz027
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Most firms face some form of competition in product markets. The degree of competition a firm faces feeds back into its cash flows and affects the values of the securities it issues. Through its effects on stock prices, product market competition affects the prices of options on equity and leads to an inverse relationship between equity returns and volatility, generating a negative volatility skew in option prices. Using a large sample of U.S. equity options, we provide empirical support for this finding and demonstrate the importance of accounting for product market competition when explaining the cross-sectional variation in option skew.
引用
收藏
页码：4343 / 4386
页数：44
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