What Does the Individual Option Volatility Smirk Tell Us About Future Equity Returns?
研究发现期权波动率偏斜的陡峭程度能显著预测股票未来收益，偏斜最陡的股票年化风险调整收益比最平缓的低10.9%，且该预测效应持续至少6个月，偏斜最陡的公司下一季度盈利冲击最差。
Abstract The shape of the volatility smirk has significant cross-sectional predictive power for future equity returns. Stocks exhibiting the steepest smirks in their traded options underperform stocks with the least pronounced volatility smirks in their options by 10.9% per year on a risk-adjusted basis. This predictability persists for at least 6 months, and firms with the steepest volatility smirks are those experiencing the worst earnings shocks in the following quarter. The results are consistent with the notion that informed traders with negative news prefer to trade out-of-the-money put options, and that the equity market is slow in incorporating the information embedded in volatility smirks.