MANAGEMENT SCIENCE · VOL. 63, NO. 6 · June 2017
风险中性偏度能告诉我们关于未来股票收益的什么？
作者：Przemys?aw S. Stilger (University of Manchester - Accounting and Finance Group), Alexandros Kostakis (University of Manchester - Accounting and Finance Group), Ser-Huang Poon (University of Manchester - Accounting and Finance Group)
摘要：本研究记录了1996 - 2012年期间单个股票收益分布的期权隐含风险中性偏度（RNS）与未来实现股票收益之间的正相关关系。长期以来，买入RNS最高五分位数股票投资组合和卖空RNS最低股票投资组合的策略产生了每月55个基点的Fama-French-Carhart alpha（t-统计量为2.47）。具有最低负向RNS的股票投资组合的表现显著不佳，这种现象由这些被认为价格相对一系列过高定价的代理变量而言存在高估的股票所驱动的，卖空这些股票也更加昂贵或者危险，从而阻碍了价格调整机制。本文的研究结果表明，高负向的RNS价值反映了认为标的股票被高估但是难以卖空的投资者对期权的高对冲需求，这也是未来股票表现不佳的强劲信号。
关键词：期权隐含信息，风险中性偏度，对冲压力，过高定价，卖空限制
What Does Risk-Neutral Skewness Tell Us About Future Stock Returns?
Przemys?aw S. Stilger (University of Manchester - Accounting and Finance Group), Alexandros Kostakis (University of Manchester - Accounting and Finance Group), Ser-Huang Poon (University of Manchester - Accounting and Finance Group)
ABSTRACT
This study documents a positive relationship between the option-implied risk-neutral skewness (RNS) of individual stock returns’ distribution and future realized stock returns during the period 1996–2012. A strategy that goes long the quintile portfolio with the highest RNS stocks and short the quintile portfolio with the lowest RNS stocks yields a Fama–French–Carhart alpha of 55 basis points per month (t-statistic of 2.47). The significant underperformance of the portfolio with the most negative RNS stocks is driven by those stocks that are also perceived as relatively overpriced according to a series of overvaluation proxies and are too costly or too risky to sell short, thereby hindering the price correction mechanism. Our findings indicate that a highly negative RNS value, when reflecting high hedging demand for options by investors who perceive the underlying stock as relatively overpriced but hard to sell short, is a robust signal of significant future stock underperformance.
Keywords: option-implied information; risk-neutral skewness; hedging pressure; overvaluation; short-selling constraints
原文链接：http://pubsonline.informs.org/doi/abs/10.1287/mnsc.2015.2379
翻译：景薇
