期权市场能在多大程度上预测股票市场的走势？这种预测显著性是因为期权市场的投资者掌握了更多信息造成的吗 ...

最近经推荐看了篇Journal of Finance的文章（已经accepted但是还未发表）
The Joint Cross Section of Stocks and Options

Specifically, stocks with past large innovations in call option implied volatilities positively predict future stock returns, while stocks with previous large changes in put implied volatilities predict low stock returns. When decile portfolios are formed based on past first-differences in call volatilities, the spread in average returns and alphas between the first and tenth portfolios is approximately 1% per month and highly significant. After accounting for the effect of call implied volatilities, the average raw and risk-adjusted return differences between the extreme decile portfolios of put volatility changes are greater than 1% per month and also highly significant. This cross-sectional predictability of stock returns from call and put volatility innovations is robust to controlling for the usual firm characteristics and risk factors drawn from both equity and option markets, and appears in subsample periods including the most recent financial crisis

期权市场能在多大程度上预测股票市场的走势？这种预测显著性是因为期权市场的投资者掌握了更多信息造成的吗？

这种预测显著性能构建量化组合，用在股票市场的投资上，获取超额alpha吗？

文章（working paper版）下载地址：
http://www.nber.org/papers/w19590.pdf

阿布熊 · 2018-10-15 23:47:24

92页。。。。题主好狠。粗略答一下，纯探讨。
1, 是的，期权交易波动对股票回报的预测关系是因为期权交易者掌握更多信息。

The predictability from options to stock returns is consistent with economies wherein
informed traders choose the option market to trade first, such as those developed by
Chowdhry and Nanda (1991) and Easley, O’Hara and Srinivas (1998).

2, 看table,我觉得r square都挺低的（10%左右），模型不好用。。。

3，一个月高1%，最久能持续6个月，这样的收益我觉得还可以。。。

Sorting stocks ranked into decile portfolios by past call implied volatilities produces spreads in average returns of approximately 1% per month, and the return differences persist up to six months.

4，反正文章里也有model，题主你拿数据跑一下试试嘛哈哈

蓝海平 · 2018-10-15 23:47:25

从市场结构上，卖空受限、高杠杆的交易数据信息都有较强的统计预测性，比如沪深300的价格发现能力强于沪深两市，融券卖空对股价下跌有预测能力。期权的逻辑也大体如此。

杀生丸大人 · 2018-10-15 23:47:26

我觉得期权市场本身不能创造更高的准确率，很可能是市场的微观结构影响了，这些微观结构可以是：进入门槛、投资者对它的熟悉度，买空卖空限制、融资融券等。
如果能找出证据证明股票市场和期权市场的微观结构不同，就是可以的，并且这些原因还可以指导投资活动，如果仅仅实证系数显著，但是发现微观结构没有大的差异，就没什么意义。

胡顼 · 2018-10-15 23:47:27

期权对于标的资产行情方向的指示作用几乎没有，但是对于波动率变化的指示还是有一定价值的。

匿名用户 · 2018-10-15 23:47:28

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leon lu · 2018-10-15 23:47:29

多年期权玩家告诉你，完全不能预测。

Figo Liu · 2018-10-15 23:47:30

一楼答案非常丰富了，把那几篇paper读读能有个大概认识。最近也听到一些朋友认为Ross这个理论也许有可能成为未来很重要的方向，不过现在才开始做，不管是理论还是数据支持都还比较局限。但现在确实是研究p q关系的绝佳时机

Julie ZHANG · 2018-10-15 23:47:31

Ross Recovery Theorem can be applied in practice given the transition matrix is path-independent and irreducible. I have been working on this topic for a while and we have built a algorithm for the RT.

The beauty of the RT is that it does not rely on the historical prices but let the future speak itself. Traditionally, there has been a separation between the derivative markets and the spot markets, however, the Recovery Theorem make it possible to move between the risk neutral density and the physical density via an eigenfunction approach.

I am afraid that I could not agree on the previous response that the RT cannot be applied into practice. The following working paper would be of interested to whom wants to investigate the relationship between the risk neutral transition matrix and the physical transition matrix and also the implementing of the RT in practice.

SSRN Link: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2784153

匿名用户 · 2018-10-15 23:47:32

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期权市场能在多大程度上预测股票市场的走势？这种预测显著性是因为期权市场的投资者掌握了更多信息造成的吗 ...

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