Option Implied Liquidity and Stock Returns
基于美国股票期权市场看跌-看涨平价系统性偏差，构建市场流动性指标，发现该隐含流动性指标能预测市场收益并解释股票收益的横截面差异，投资组合策略年化收益约7.3%。
This study examines a market-wide liquidity measure based on the systematic deviations from Put-Call parity in the U.S. equity option markets. We show that this implied liquidity measure provides forward-looking information about market returns and significantly explains the cross-sectional variations of stock returns. We show that investing in the stocks with the largest exposure to the innovations in the implied liquidity and shorting the stocks with the smallest generate significant returns of about 7.3 percent per annum. The explanatory power of implied liquidity for the cross-sectional variations of stock returns remain robust after controlling for various liquidity influences, the short-selling constraints and the effects of information asymmetry.