Aurelio Vasquez | 第194期雙周學術論壇：Firm Leverage and Equity Option Returns

一、主題：Firm Leverage and Equity Option Returns

二、主講人：Aurelio Vasquez，ITAM (Mexico Autonomous Institute of Technology) 助理教授。加拿大麥吉爾大學（McGill University）金融學博士畢業。主要研究領域：實證資産定價、金融衍生品、風險管理和固定收益。研究成果在Journal of Financial Economics、Journal of Financial and Quantitative Analysis等國外高水平金融學期刊發表。

三、時間：2017年3月22日（周三），12:30-13:30

四、地點：學院南路校區主教學樓910會議室

五、主持人：朱一峰，bevictor伟德官网講師

Abstract: This paper studies the effect of firm's capital structure on the delta-hedged option returns written on leveraged equity of the firm. Theoretically, we use a capital structure model with a double-exponential jump diffusion process to derive the expected delta-hedged return of an equity option portfolio. We show that delta-hedged returns are negatively related to leverage. The empirical evidence confirms the model prediction. The results are robust to other determinants of options returns such as idiosyncratic volatility, historical volatility minus implied volatility, and the slope of the volatility term structure.