Βιβλιοθήκη ΟΠΑ - Ψηφιακό Αποθετήριο

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Συλλογές :	Ιδρυματικό Αποθετήριο ΟΠΑ / AUEB Institutional Repository Σχολή Διοίκησης Επιχειρήσεων / School of Business Τμήμα Λογιστικής και Χρηματοοικονομικής / Department of Accounting and Finance Μεταπτυχιακές Εργασίες / Postgraduate dissertations

Τίτλος :	The informational content of financial options for equity style timing

Δημιουργός :	Πρασσά, Χαρίκλεια

Συντελεστής :	Γιαμουρίδης, Δανιήλ (Επιβλέπων καθηγητής) Οικονομικό Πανεπιστήμιο Αθηνών, Τμήμα Λογιστικής και Χρηματοοικονομικής (Degree granting institution)

Τύπος :	Text

Φυσική περιγραφή :	95 σ.

Γλώσσα :	en

Περίληψη :	Equity and option markets are distinct entities but are inextricably linked in the sense that option market could lead stock market in the price discovery process. This is due to the fact that informed traders might first choose to trade in option markets to benefit from their leverage advantage in order to achieve higher returns. Consistent with that notion, many studies have investigated the ‘‘information spillover’’ from option to equity markets and have shown that information contained in options reveals insight into the future performance of underlying stocks. Xing, Zhang and Zhao (2010) examined the impact on future stock returns of information contained in the implied volatility skew and showed that stocks with greater negative skews tend to have lower future returns. Similar are the findings of the study of Yan (2011) which tested the informational content of the slope of option implied volatility smile. Roll, Schwartz and Subrahmanyam (2009) investigated the information that can be extracted from the relative trading activity in options and stock market, by combining options and stock trading volume in a measure termed options to stocks trading volume ratio (O/S). Finally, Cremers and Weinbaum (2010) showed that future returns are linked to the deviations from put-call parity in options on individual stocks, calculated as the weighted difference between the implied volatilities of call and put options with the same strike price and maturity. Our intent is to explain a subset of the information contained in option volatility and prices and its relationship with future equity returns. Specifically, we investigate whether the shape and the slope of the volatility smirk, the options-to-stocks trading volume ratio, and the volatility spread, can serve as stock selection factors by formulating an efficient signal to drive the asset allocation decision. The target of our study is the construction of a style rotation strategy that will be able to arrive at a forecast for the relative performance of small versus large cap and value versus growth US stocks.

Περίληψη :

Equity and option markets are distinct entities but are inextricably linked in the sense that option market could lead stock market in the price discovery process. This is due to the fact that informed traders might first choose to trade in option markets to benefit from their leverage advantage in order to achieve higher returns. Consistent with that notion, many studies have investigated the ‘‘information spillover’’ from option to equity markets and have shown that information contained in options reveals insight into the future performance of underlying stocks. Xing, Zhang and Zhao (2010) examined the impact on future stock returns of information contained in the implied volatility skew and showed that stocks with greater negative skews tend to have lower future returns. Similar are the findings of the study of Yan (2011) which tested the informational content of the slope of option implied volatility smile. Roll, Schwartz and Subrahmanyam (2009) investigated the information that can be extracted from the relative trading activity in options and stock market, by combining options and stock trading volume in a measure termed options to stocks trading volume ratio (O/S). Finally, Cremers and Weinbaum (2010) showed that future returns are linked to the deviations from put-call parity in options on individual stocks, calculated as the weighted difference between the implied volatilities of call and put options with the same strike price and maturity. Our intent is to explain a subset of the information contained in option volatility and prices and its relationship with future equity returns. Specifically, we investigate whether the shape and the slope of the volatility smirk, the options-to-stocks trading volume ratio, and the volatility spread, can serve as stock selection factors by formulating an efficient signal to drive the asset allocation decision. The target of our study is the construction of a style rotation strategy that will be able to arrive at a forecast for the relative performance of small versus large cap and value versus growth US stocks.

Λέξη κλειδί :	Equity Markets Option Markets Stock Market Style Rotation Implementation

Ημερομηνία έκδοσης :	14-11-2011

Άδεια χρήσης :

Αρχείο: Prassa_2011.pdf

Τύπος: application/pdf

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