期权隐含尾部风险及其对股票收益率的预测  

Option implied tail risk and predictability of stock return

作　　者：陈坚[1] 张轶凡 洪集民 CHEN Jian;ZHANG Yi-fan;HONG Ji-min(School of Economics,Xiamen University,Xiamen 361005,China;Hebei Branch,The Export-Import Bank of China,Shijiazhuang 050031,China;Huafu Securities,Shanghai 200120,China)

机构地区：[1]厦门大学经济学院,厦门361005 [2]中国进出口银行河北省分行,石家庄050031 [3]华福证券,上海200120

出　　处：《管理科学学报》2019年第10期72-81,共10页Journal of Management Sciences in China

基　　金：国家自然科学基金资助项目(71671148)

摘　　要：当投资者预期未来股票市场可能出现下跌时,会用虚值看跌期权来对冲下跌风险,因此这部分期权价格中隐含了未来股票下跌风险的信息.文章根据下偏矩的概念,通过无模型的估计方法,从看跌期权价格中提取出股票收益率分布的尾部风险指标或下跌风险指标,发现其对未来1个月的股票超额收益率具有显著的预测能力.加入控制变量后,隐含尾部风险指标的预测能力依然十分稳健,说明该指标中含有其他预测因子中所不具备的额外预测信息.When investors expect a downside jump of stock market returns,they usually use the out-of-themoney(OTM)put options to hedge the tail risk.As a result,the OTM put options contain the information of future possible stock market crash.According to the concept of lower partial moment,this paper uses the model-free method to estimate an option implied tail risk and finds that it can significantly predict the expected stock market return.After controlling for the economic variables and other option implied variables,the predictive power of our tail risk measure is still significant.Thus,our option implied tail risk measure contains additional forecasting information beyond that implicit in the alternative return predictors.

关 键 词：股指期权 尾部风险 股票收益率预测 样本外预测 

分 类 号：F830[经济管理—金融学]