Overcoming Arbitrage Limits: Option Trading and Momentum Returns
研究发现过去20年动量策略收益下降部分源于股票期权交易增长，期权作为卖空替代品改善了定价效率，降低了卖空障碍，从而削弱了动量策略的空头收益。
Abstract Momentum profits depend mainly on the short leg and therefore on barriers to short sales. Our research indicates that the decline in momentum profitability in the past 2 decades is driven partly by a contemporaneous growth in stock options trading. Stock options offer an alternative to short selling, augmenting the stock lending market, and thereby contributing to improved pricing efficiency. The resulting reduction in barriers to short sales contributes to lower returns to momentum trading from the short leg. Our results persist after matching stocks with and without options based on different firm-level characteristics.