Greeks‐Neutral Option Excess Returns
研究了事前预期的希腊值中性超额收益与事后实现的希腊值中性超额收益之间的关系，发现前者能正向预测后者，且结合不同指标可提升预测效果，基于此构建的投资组合能获得正超额收益和可观夏普比率。
ABSTRACT This study investigates the linkage between ex‐ante expected greeks‐neutral excess return () and ex‐post realized greeks‐neutral excess return (). Employing the top‐down framework, we show that is determined by the difference between the market‐derived implied volatility and the estimated implied volatility absent arbitrage opportunities. Serving as the optimal predictor of , we first find that positively predicts . Second, the bottom‐up complements the top‐down , enhancing the prediction of . Third, the 10‐1 portfolios formed on realize positive excess returns and sizeable Sharpe ratios in the future. The IPCA that employs information from different measures and terms generates superior performance.