Stock Options as Lotteries
研究了期权事前总偏度与持有期回报的关系，发现总偏度与平均回报呈强负相关，且偏度排序的期权组合周回报差异达10%-50%，表明高偏度期权类似彩票，其溢价补偿了中介机构承担的不可对冲风险。
ABSTRACT We investigate the relationship between ex ante total skewness and holding returns on individual equity options. Recent theoretical developments predict a negative relationship between total skewness and average returns, in contrast to the traditional view that only coskewness is priced. We find, consistent with recent theory, that total skewness exhibits a strong negative relationship with average option returns. Differences in average returns for option portfolios sorted on ex ante skewness range from 10% to 50% per week, even after controlling for risk. Our findings suggest that these large premiums compensate intermediaries for bearing unhedgeable risk when accommodating investor demand for lottery‐like options.