Index option prices and stock market momentum
Index option prices and stock market momentum
复制标题
DOI：
10.1086/422440
复制
发表时间：
2004-10-01
影响因子：
--
通讯作者：
Seyhun, HN
中科院分区：
文献类型：
--
作者：
Amin, K;Coval, JD;Seyhun, HN
我们测试了标准期权定价模型的预测，即期权价格与过去的股市走势之间应该没有关系。使用 1983 年至 1995 年的标准普尔 100 指数期权（OEX 期权）价格，我们发现在股价大幅上涨后，OEX 看涨期权相对于 OEX 看跌期权而言被显着高估。股价大幅下跌后，情况正好相反。这些估值效应在经济和统计上都具有显着意义。我们的结果表明，过去的股票回报对指数期权价格产生重要影响。
We test the prediction of standard option pricing models that there should be no relation between option prices and past stock market movements. Using the Standard and Poor's 100 index options (OEX options) prices from 1983-1995, we document that OEX calls are significantly overvalued relative to OEX puts after large stock price increases. The reverse is true after large stock price decreases. These valuation effects are both economically and statistically significant. Our results suggest that past stock returns exert an important influence on index option prices.