摘要
本文研究了期权隐含偏度期限结构水平、斜率与曲率风险因子的股票定价信息含量。结果发现:水平因子和曲率因子能解释预期市场超额收益率;斜率因子既可以解释市场层面,又可以解释个股横截面层面股票定价信息含量。隐含偏度期限结构斜率因子反映了投资者对未来市场走势预期,斜率增大意味着未来股票市场收益率的下跌风险减弱,随着投资者进场,预期超额收益率降低。进一步地,斜率因子在下行市场的解释能力优于上行市场,对小公司的解释能力优于大公司。通过正交化排除隐含风险态度信息的影响后,斜率因子对预期股票超额收益率的解释能力依然显著。本文研究结果在美国、日本股票市场均得到了验证。本文结果有助于管理机构更准确地识别风险并采取预警措施,也有利于宏观审慎监管和稳定市场操作。
This paper explores the information content of stock pricing based on the level,slope and curvature risk factors of the term structure of option implied skewness.The study finds that the level factor and the curvature factor can explain the expected market excess return,while the slope factor can explain both the market and the cross-sectional excess return.The slope factor of the term structure of implied skewness reflects investors’expectations of future stock market trends.The increase in the slope means that the risk of falling stock market returns will gradually weaken in the future.With more investors entering the market,the expected excess return will decrease.Furthermore,the explanatory power of the slope factor in the downward market is better than that of the upward,and the explanatory power of the small company is better than that of the large.After eliminating the influence of implied risk attitude through orthogonalization,the explanatory power of the slope factor to the expected stock return is still significant.The results are also supported when using U.S and Japan market datas.
作者
朱超
李子若
李纪鹏
Zhu Chao;Li Ziruo;Li Jipeng(School of Finance,Capital University of Economics and Business)
出处
《国际金融研究》
CSSCI
北大核心
2021年第4期77-86,共10页
Studies of International Finance
基金
国家自然科学基金面上项目“人口学视角下风险态度、全要素生产率与金融资产收益率研究”(71873092)
首都经济贸易大学北京市属高校基本科研业务费专项资金(ZD202003)
首都经济贸易大学研究生科技创新项目“方差风险溢价、波动率期限结构与资产回报”资助
关键词
期权隐含偏度期限结构
股票定价
风险厌恶
Term Structure of Option Implied Skewness
Stock Pricing
Risk Aversion
