Cross-Sectional Variation of Risk-targeting Option Portfolios
本文构建四种风险目标组合来整合每只股票的所有期权信息，通过横截面回归估计各风险源的市场价格，发现该估计能预测对应组合的超额收益，并基于此构建多空组合获得高单位风险超额收益。
Abstract Options contracts are listed on thousands of stocks with different numbers of contracts per stock. This paper proposes to construct four risk-targeting portfolios to consolidate information in all the option contracts on each stock. A cross-sectional regression identifies the market price of risk on each risk source for each stock at any given date. The market price of risk estimate strongly predicts the excess return of the corresponding risk-targeting portfolio. Long-short portfolio construction on the risk-targeting portfolios in proportion to the market price of risk estimates generates highly positive average excess returns per unit risk across all four risk dimensions.