Option gamma and stock returns
研究发现高净伽马暴露的股票表现显著低于低净伽马暴露的股票，该效应独立于已知收益预测因子且稳健，低净伽马股票因风险更高而要求风险溢价。
Stocks with high net gamma exposure systematically underperform stocks with low net gamma exposure. This effect is distinct from other well-known return predictors, and survives many robustness checks. We show that stocks with low net gamma exposure negatively predict future realized volatility, and argue that investors command a risk premium to hold low net gamma exposure stocks, which are riskier. Lastly, we show that the volatility predictability stems from a non-informational channel, and not from private information.