Stock Return Autocorrelations and Expected Option Returns
研究发现标的股票收益的自相关程度是决定预期期权收益的重要因素，自相关越高，看涨和看跌期权的预期收益也越高，实证结果支持这一结论。
We show that the return autocorrelation of underlying stock is an important determinant of expected equity option returns. Using an extended Black-Scholes model incorporating the presence of stock return autocorrelation, we demonstrate that expected returns of both call and put options are increasing in the return autocorrelation coefficient of the underlying stock. Consistent with this insight, we find strong empirical support in the cross-section of average returns of equity options. Our paper highlights the necessity to control for stock return autocorrelation when studying option return predictability. This paper was accepted by Agostino Capponi, finance. Supplemental Material: The online appendix and data files are available at https://doi.org/10.1287/mnsc.2023.03071 .