兩篇關於選擇權隱含資訊內涵之論文

Abstract

本論文包含了兩篇選擇權隱含資訊內涵的文章。第一部分命名為『隱含波動期間結構對於未來報酬率的資訊內涵』。此研究推導了隱含波動率之期間結構與其標的資產期望超額報酬的理論關聯性。我們也利用三種不同方法去建構波動率的程度(level)與期間結構(term structure)的替代變數，並驗證了期間結構變數對於解釋標普500 指數的未來超額報酬扮演了重要角色。基於樣本內與樣本外的分析，在較短期的期間下，期間結構的資訊內涵是顯著且能補強程度變數(level variable)所無法解釋的部分。第二部分命名為『選擇權隱含尾部風險對於標的資產的未來報酬之資訊內涵』，此研究在深度價外選擇權定價模型下，應用極值理論來建構選擇權所隱含的尾部損失(loss)與利得(gain)測度，並利用其測度來探討選擇權隱含尾部風險對於其標的資產未來報酬的資訊內涵。實證顯示，兩種由標普500 指數與波動率指數(VIX)選擇權所隱含的尾部測度都能預測其對應標的資產的未來變化且都對標普500 指數的未來報酬具有資訊內涵。而上述關係在經濟衰退下特別明顯且是由尾部風險溢酬所引起的

This dissertation contains two essays on option-implied information content. The first part of dissertation is entitled as “The Information Content of the Implied Volatility Term Structure on Future Returns”. This study derives the theoretical relation between the term structure of implied variance and the expected excess returns of the underlying asset. Adopting three alternative approaches to compile the variables representing the information on the implied volatility index level and term structure, we show the important role of the term structure in determining future excess returns of the S&P 500 index. Both the in-sample and out-of-sample analyses suggest that the information content of the term structure variable is significant and a strong complement to that of the level variable, especially for shorter-term excess returns. The other part of dissertation is entitled as “The Information Content of Option-implied Tail Risk on the Future Returns of the Underlying Assets”, compiling option-implied tail loss and gain measures based on a deep out-of-the- money option pricing formula derived by applying ‘extreme value theory’, and then use these measures to investigate the information content of option-implied tail risk on the future returns of the underlying assets. Our empirical analysis shows that both tail measures implied by S&P 500 and VIX options can predict future changes in the corresponding underlying assets and are informative on the future returns of the S&P 500 index. The relationships are particularly strong during periods of economic recession and driven by the tail-risk premium.