Liquidity Risk and Expected Option Returns
Liquidity Risk and Expected Option Returns
复制标题
流动性风险和预期期权回报
DOI：
--
复制
发表时间：
2016
影响因子：
3.7
通讯作者：
Jason Wei
中科院分区：
文献类型：
--
作者：
Siu;Jason Wei
通过排序分析和Fama-MacBeth回归分析，我们证明了期权收益中流动性风险溢价的存在性。在资产负债调整的对冲回报中，流动性风险的alpha值范围为每月8.5至14.6个基点。在未经杠杆调整的对冲回报中，alpha范围为每月165.9至185.1个基点。与期权买卖价差相比，期权溢价的幅度很小。与股票和债券的研究结果相反，期权回报中未覆盖的流动性风险溢价为负值。我们解释了负溢价，注意到期权最终用户写的期权净额，他们可能更关心的流动性风险比做市商。
We establish the existence of liquidity risk premium in option returns via sorting analyses and Fama-MacBeth regressions. In leverage-adjusted, hedged returns, the alpha due to liquidity risk ranges from 8.5 to 14.6 basis points per month. In hedged returns unadjusted for leverage, the alpha ranges from 165.9 to 185.1 basis points per month. Compared with the option bid-ask spread, the premium is small in magnitude. In contrast to the findings for stocks and bonds, the liquidity risk premium uncovered in option returns is negative. We explain the negative premium by noting that option end-users write options in net and they might care more about liquidity risk than market makers.