Journal of Financial Economics, Volume 122, Issue 1, October 2016, Pages 155-174, ISSN 0304-405X

賭博性偏好和個股期權回報率

作者：Suk-Joon Byun (Korea Advanced Institute of Science and Technology, College of Business), Da-Hea Kim (Nanyang Technological University, College of Business)

摘要：我們研究了期權的回報率和其标的股票的博彩性特征之間的關系。标的股票博彩性特征最強的看漲期權比标的股票的博彩性特征最弱的看漲期權的表現每月弱10%-20%。而且标的股票的博彩特征越強，由于被高估的看漲期權，期權偏離買賣權平價關系（Put-call parity）的程度和頻率也越大。此外，在投資者情緒高的時期，這種博彩性特征效應也更強。這些結果表明由樂觀帶來的對賭博行為的偏好造成了具有博彩性特征的期權被高估。

關鍵詞：股票期權，博彩，偏好的偏度，買賣權平價關系，投資者情緒

Gambling preference and individual equity option returns

Suk-Joon Byun (Korea Advanced Institute of Science and Technology, College of Business), Da-Hea Kim (Nanyang Technological University, College of Business)

ABSTRACT

We investigate the relation between the option returns and the underlying stock's lottery-like characteristics. Call options written on the most lottery-like stocks underperform otherwise similar call options written on the least lottery-like stocks by 10–20% per month. Moreover, the more lottery-like the underlying stocks, the further and more frequently the options deviate from the put–call parity in the direction induced by overvalued calls. Furthermore, the lottery-like characteristic effect is stronger during periods of high investor sentiment. The results suggest that optimism-induced gambling preference causes lottery-like options to be overvalued.

Keywords: Stock options; Lottery; Skewness preference; Put–call parity; Investor sentiment

原文鍊接：http://dx.doi.org/10.1016/j.jfineco.2016.06.004

翻譯：吳雨玲