Maturity Driven Mispricing of Options
研究发现，到期日间隔4周与5周的短期期权月收益率存在显著差异，平均每周差异16-29个基点（Delta对冲组合）或101-187个基点（跨式组合），且该错误定价源于投资者对精确到期日的忽视，而非风险或交易成本。
Abstract This paper documents that short-term options achieve significantly lower returns during months with 4 versus 5 weeks between expiration dates. The average return differential ranges from 16 to 29 basis points per week for delta-hedged portfolios, and from 101 to 187 basis points per week for straddles, over 1996–2017. Evidence based on earnings announcements and institutional holdings suggests that investor inattention to exact expiration date rather than underlying risk exposures or transaction costs can explain the mispricing. Market makers seem to adjust prices accordingly, and tend to over-trade mispriced options against less sophisticated investors.