Can Equity Option Returns Be Explained by a Factor Model? IPCA Says Yes
研究发现，IPCA因子模型能解释多种对冲期权策略的高平均收益，调整后平均超额收益接近零，可作为评估期权组合表现的基准。
Abstract A number of delta-hedged equity option strategies exhibit very large average returns. We show that much of the profitability of these strategies can be explained by an IPCA factor model. The economic magnitude of the return-adjustment produced by IPCA is impressive: even before transaction costs, the average IPCA alpha of 46 long-short trading strategies constructed on previously discovered signals, is close to zero and contrasts with average realized returns of over 80 basis points per month. Our IPCA model can be used as a benchmark for assessing the performance of other option portfolios.