Put-Call Parity and Expected Returns
研究市场摩擦下，相对看跌与看涨期权价格是否包含标的资产未来收益的信息，基于OEX期权交易数据发现该相对价格指标领先股市至少15分钟。
This study examines the hypothesis that in the presence of market frictions, relative put and call prices contain information concerning future returns of the underlying asset. A measure of relative prices is derived from the put-call parity relationship for index options and applied to a three-year sample of OEX option transactions. The results show that the measure of relative index option prices leads the stock market by at least 15 minutes.