市場預期報酬與其指數選擇權隱含風險值之再探討

Abstract

本文延伸 Bali et al. (2015) 所提出風險中立之選擇權隱含風險值，來預測標準普爾500指數、納斯達克綜合指數與道瓊工業平均指數的未來市場預期報酬，選擇權隱含風險值與市場預期報酬的正向關係，驗證了”高風險-高報酬”的假說。本文也發現選擇權隱含風險值與選擇權的交易量在當期存在顯著為正的關係，以及兩者跨期之間的交互影響。本文亦藉由總體經濟因子來提供選擇權隱含風險值背後經濟意涵之解釋。在子樣本分析中，本文發現在雷曼兄弟倒閉之後的時期，與利率相關的因子對於未來市場預期報酬有較佳的預測力。

This paper contributes to existing literature by extending the risk-neutral option implied measures of riskiness based on the Bali et al. (2015) to predict the future return of different market portfolio (i.e. S&P 500, NASDAQ and DJIA indices). Option implied riskiness shows a robust positively intertemporal relation to future market returns, which supports the 'high-risk & high-return' hypothesis. Besides, we confirm not only a strong contemporaneous positive relation between the option implied riskiness and the option trading volume, but also an intertemporal relation between them. Furthermore, we investigate the relationship between option implied riskiness and macroeconomic factors to provide intuitive explanations. Finally, in subsample analysis, interest-rate related factors have better predictive power for future return after Lehman's bankruptcy in September 2008.