Early exercise, implied volatility spread and future stock return: Jumps bind them all
研究发现交易所交易的单只股票美式看跌期权的提前行权溢价（超出几何布朗运动世界溢价的部分）能负向预测未来股票收益，而资产价值跳跃（尤其是平均跳跃大小）是驱动这一预测能力的关键因素。
Abstract We find that early exercise premiums of exchange‐traded single‐stock American puts, in excess of the GBM‐world premium, can negatively predict future stock returns. Simulations suggest that asset‐value jumps, especially the mean jump‐size, can positively drive this excess premium, while jump‐size can also negatively induce the implied volatility (IV) spread of equivalent American option‐pairs. Empirically, controlling for the effect of jump‐size in excess premiums, the premium loses its predictive power. Furthermore, controlling for the excess premium or jump‐size, IV spreads' predictability shown in the literature also diminishes. Our evidence survives under alternative explanations like informed trading, stock mispricing or market frictions.