The Puzzle of Index Option Returns
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We construct a panel of S&P 500 Index call and put option portfolios, daily adjusted to maintain targeted maturity, moneyness, and unit market beta, and test multi-factor pricing models. The standard linear factor methodology is applicable because the monthly portfolio returns have low skewness and are close to normal. We hypothesize that any one of crisis-related factors incorporating price jumps, volatility jumps, and liquidity (along with the market) explains the cross-sectional variation in returns. Our hypothesis is not rejected, even when the factor premia are constrained to equal the corresponding premia in the cross-section of equities. The alphas of short-maturity out-of-the-money puts become economically and statistically insignificant.
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CONSTANTINIDES, George M., Jens JACKWERTH, Alexi SAVOV, 2013. The Puzzle of Index Option Returns. In: Review of Asset Pricing Studies. 2013, 3(2), pp. 229-257. ISSN 2045-9920. eISSN 2045-9939. Available under: doi: 10.1093/rapstu/rat004BibTex
@article{Constantinides2013Puzzl-24854, year={2013}, doi={10.1093/rapstu/rat004}, title={The Puzzle of Index Option Returns}, number={2}, volume={3}, issn={2045-9920}, journal={Review of Asset Pricing Studies}, pages={229--257}, author={Constantinides, George M. and Jackwerth, Jens and Savov, Alexi} }
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