Delta Fluctuations and Option Returns

卢苑,湖南大学经济管理研究中心助理教授,香港中文大学金融学博士。主要研究方向是实证资产定价,金融衍生品,金融市场微观结构,金融科技,行为金融等。主要工作论文有:Delta Fluctuations and Option Returns,The Informational Role of Cross-Border Trading: Evidence from the Intraday Price Discovery in China,Disaster Exposure and Option Returns等。
主持人
李志成
湖南大学经济管理研究中心副教授
美国纽约州立大学石溪分校经济学博士
时间
2024年9月27日(周五)
下午4:15-5:30
地点
湖南大学财院校区-水上教学楼211
ABSTRACT
The paper documents a significant and robust positive relationship between delta volatility and delta-hedged option return. The empirical findings align with Ellsberg(1961)’s Paradox of ambiguity aversion, where individuals prefer known probabilities over ambiguous ones. Retail investors exhibit aversion towards delta fluctuations, leading to a decrease (or increase) in demand for options with volatile (or stable) deltas respectively. Consequently, options with volatile deltas are observed to be less expensive than options with stable deltas. Moreover, the dominance of retail investors and the limits to arbitrage further enhances the cross-sectional option return predictability.