Fundamental Analysis and Option Returns
研究发现期权市场未能充分将基本面波动信息纳入定价，基于会计信号的基本面信号能预测期权未来收益，但交易成本会大幅降低套利策略的盈利性。
This article investigates whether fundamental volatility information is appropriately priced in the options market. We find that fundamental signals exhibit incremental predictive power with respect to future option returns above and beyond what is captured by implied and historical stock volatility, suggesting that the options market does not fully incorporate fundamental information into option prices. Transaction costs substantially reduce the overall profitability of hedge strategies that exploit only the fundamental volatility information in these accounting signals; however, fundamental signals provide a useful complement for strategies based on historical volatility.