Journal of Financial Economics, Volume 122, Issue 1, October 2016, Pages 155-174, ISSN 0304-405X

赌博性偏好和个股期权回报率

作者：Suk-Joon Byun (Korea Advanced Institute of Science and Technology, College of Business), Da-Hea Kim (Nanyang Technological University, College of Business)

摘要：我们研究了期权的回报率和其标的股票的博彩性特征之间的关系。标的股票博彩性特征最强的看涨期权比标的股票的博彩性特征最弱的看涨期权的表现每月弱10%-20%。而且标的股票的博彩特征越强，由于被高估的看涨期权，期权偏离买卖权平价关系（Put-call parity）的程度和频率也越大。此外，在投资者情绪高的时期，这种博彩性特征效应也更强。这些结果表明由乐观带来的对赌博行为的偏好造成了具有博彩性特征的期权被高估。

关键词：股票期权，博彩，偏好的偏度，买卖权平价关系，投资者情绪

Gambling preference and individual equity option returns

Suk-Joon Byun (Korea Advanced Institute of Science and Technology, College of Business), Da-Hea Kim (Nanyang Technological University, College of Business)

ABSTRACT

We investigate the relation between the option returns and the underlying stock's lottery-like characteristics. Call options written on the most lottery-like stocks underperform otherwise similar call options written on the least lottery-like stocks by 10–20% per month. Moreover, the more lottery-like the underlying stocks, the further and more frequently the options deviate from the put–call parity in the direction induced by overvalued calls. Furthermore, the lottery-like characteristic effect is stronger during periods of high investor sentiment. The results suggest that optimism-induced gambling preference causes lottery-like options to be overvalued.

Keywords: Stock options; Lottery; Skewness preference; Put–call parity; Investor sentiment

原文链接：http://dx.doi.org/10.1016/j.jfineco.2016.06.004

翻译：吴雨玲