Is the Information on the Higher Moments of Underlying Returns Correctly Reflected in Option Prices?
研究了短期和长期期权隐含的收益偏度信息，发现长期期权投资者平均低估了第三矩，且市场方差大时更严重；利用相对低估的偏度构建交易策略可获得约7%的年化异常收益。
This study examines the information implied in options with short and long maturities. In the analysis using the forward moments, we find that long‐term option investors, on average, seem to underestimate the third moment relative to short‐term option investors, and this becomes severe when the market variance is large. We find that the third moment underestimation of long‐term option investors is economically meaningful using Corrado and Su's model and a trading strategy exploiting the relative underestimated skewness in long‐term options. The abnormal return of the strategy is around 7% per year after controlling systematic risks. © 2016 Wiley Periodicals, Inc. Jrl Fut Mark 36:722–744, 2016