Lottery and bubble stocks and the cross‐section of option‐implied tail risks
研究了期权微笑曲线的横截面决定因素，发现平值波动率主要由历史风险和预测风险解释，而偏度则由风险溢价和买卖压力驱动，后者受信念异质性及股票的彩票和泡沫特征影响。
Abstract The options smile provides forward‐looking information about the risk at the center of the distribution ( ATM‐IV ) and at the tails (Skew). We investigate the cross‐sectional determinants of the options smile using indices that capture firm fundamental risks, heterogeneity in belief, lottery characteristics, and bubble characteristics. We find that at‐the‐money (ATM) volatility is explained mainly by historical risks and predicted future risks measured using accounting‐based risk measures and firm characteristics. However, the cross‐sectional variation in the skew is driven by risk premia and by buying and selling pressure, which is influenced by heterogeneity in belief and the underlying's lottery‐like and bubble‐like characteristics.