Option‐implied moments and the cross‐section of stock returns
构建了一个综合期权隐含波动率、偏度和峰度的评分指标，反映投资者对未来收益分布的预期。基于该指标的多空组合月收益达0.75%，且风险调整后收益显著，其超额收益在低情绪期源于波动风险暴露，高情绪期则受期权向股票市场信息流驱动。
Abstract We construct a joint score measure using option‐implied volatility, skewness, and kurtosis gauging investors' expectations about favorable future return distribution properties. The high–low decile portfolio formed on this measure earns a statistically significant 0.75% value‐weighted average monthly return. Risk‐adjusted returns are significant and robust when controlling for various characteristics. The positive abnormal return of the spread portfolio can be explained by its exposure to aggregate volatility risk when investors' sentiment is low. When sentiment is high, it is also driven by information flow from the options to the stock market for stocks perceived to be as relatively mispriced.