Does the Options Market Underreact to Firms’ Left-Tail Risk?
研究发现，公司左尾风险能正向预测未来熊市价差策略的收益，表明市场对极端下跌风险的定价不足，主要由波动率反应不足和风险持续性反应不足解释。
Abstract We show that firms’ left-tail risk positively predicts future returns of crash insurance. We proxy crash insurance with bear spreads, an option trading strategy that profits when extreme negative returns occur. Crash insurance for high (low) left-tail risk firms earns positive (negative) returns, suggesting that the downside protection it provides is not adequately priced. Our results are mainly explained by two types of underreaction: volatility underreaction in high left-tail risk portfolios and underreaction to the persistence of left-tail risk. Disagreement partially explains our results, but a risk-based approach does not.