The DOI matches its Crossref record; 8 of the 8 references it cites were found in a registry or an index.
Expected Option Returns
Open accessAbstract
This paper examines expected option returns in the context of mainstream asset‐pricing theory. Under mild assumptions, expected call returns exceed those of the underlying security and increase with the strike price. Likewise, expected put returns are below the risk‐free rate and increase with the strike price. S&P index option returns consistently exhibit these characteristics. Under stronger assumptions, expected option returns vary linearly with option betas. However, zero‐beta, at‐the‐money straddle positions produce average losses of approximately three percent per week. This suggests that some additional factor, such as systematic stochastic volatility, is priced in option returns.
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Cites
The pricing of options and corporate liabilities
Black, F., & Scholes, M. (1973) · Journal of Political Economy · doi:10.1086/260062 · Cited by 29,074
Heston, S. L. (1993) · Review of Financial Studies · doi:10.1093/rfs/6.2.327 · Cited by 8,762
Optimum consumption and portfolio rules in a continuous-time model
Merton, R. C. (1971) · Journal of Economic Theory · doi:10.1016/0022-0531(71)90038-x · Cited by 5,958
A Test of the Efficiency of a Given Portfolio
Gibbons, M. R., Ross, S. A., & Shanken, J. (1989) · Econometrica · doi:10.2307/1913625 · Cited by 2,350
The relation between implied and realized volatility
Christensen, B. J., & Prabhala, N. R. (1998) · Journal of Financial Economics · doi:10.1016/s0304-405x(98)00034-8 · Cited by 1,112
Recovering Probability Distributions from Option Prices
JACKWERTH, J. C., & RUBINSTEIN, M. (1996) · The Journal of Finance · doi:10.1111/j.1540-6261.1996.tb05219.x · Cited by 1,086
Recovering Risk Aversion from Option Prices and Realized Returns
Jackwerth, J. C. (2000) · Review of Financial Studies · doi:10.1093/rfs/13.2.433 · Cited by 836
The Returns and Risks of Alternative Put-Option Portfolio Investment Strategies
Merton, R. C., Scholes, M. S., & Gladstein, M. L. (1982) · The Journal of Business · doi:10.1086/296153 · Cited by 83
Cited by
The Price of Correlation Risk: Evidence from Equity Options
DRIESSEN, J., MAENHOUT, P. J., & VILKOV, G. (2009) · The Journal of Finance · doi:10.1111/j.1540-6261.2009.01467.x · Cited by 423
Cross-section of option returns and volatility☆
Goyal, A., & Saretto, A. (2009) · Journal of Financial Economics · doi:10.1016/j.jfineco.2009.01.001 · Cited by 417
An intertemporal CAPM with stochastic volatility
Campbell, J. Y., Giglio, S., Polk, C., & Turley, R. (2018) · Journal of Financial Economics · doi:10.1016/j.jfineco.2018.02.011 · Cited by 331
Crash-neutral currency carry trades
Jurek, J. W. (2014) · Journal of Financial Economics · doi:10.1016/j.jfineco.2014.05.004 · Cited by 319
Capturing Option Anomalies with a Variance-Dependent Pricing Kernel
Christoffersen, P., Heston, S., & Jacobs, K. (2013) · Review of Financial Studies · doi:10.1093/rfs/hht033 · Cited by 308
Metadata
- Authors
- Coval, J. D., & Shumway, T.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 2001-06
- Volume
- 56
- Issue
- 3
- Pages
- 983-1009
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W3124973140
- Cited by
- 771
- References
- 8
- FWCI
- 18.12
- Type
- journal article
- Language
- en
- Open access
- bronze
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
