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題名：兩篇關於選擇權隱含資訊內涵之論文
作者：顏廣杰
作者(外文)：Kuang-Chieh Yen
校院名稱：國立臺灣大學
系所名稱：財務金融學研究所
指導教授：王耀輝
學位類別：博士
出版日期：2018
主題關鍵詞：波動率期間結構；預測能力；標普 500 指數報酬；尾部測度；波動率；選擇權；極值理論
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本論文包含了兩篇選擇權隱含資訊內涵的文章。第一部分命名為『隱含波動期間結構對於未來報酬率的資訊內涵』。此研究推導了隱含波動率之期間結構與其標的資產期望超額報酬的理論關聯性。我們也利用三種不同方法去建構波動率的程度(level)與期間結構(term structure)的替代變數，並驗證了期間結構變數對於解釋標普500 指數的未來超額報酬扮演了重要角色。基於樣本內與樣本外的分析，在較短期的期間下，期間結構的資訊內涵是顯著且能補強程度變數(level variable)所無法解釋的部分。第二部分命名為『選擇權隱含尾部風險對於標的資產的未來報酬之資訊內涵』，此研究在深度價外選擇權定價模型下，應用極值理論來建構選擇權所隱含的尾部損失(loss)與利得(gain)測度，並利用其測度來探討選擇權隱含尾部風險對於其標的資產未來報酬的資訊內涵。實證顯示，兩種由標普500 指數與波動率指數(VIX)選擇權所隱含的尾部測度都能預測其對應標的資產的未來變化且都對標普500 指數的未來報酬具有資訊內涵。而上述關係在經濟衰退下特別明顯且是由尾部風險溢酬所引起的
This dissertation contains two essays on option-implied information content. The first part of dissertation is entitled as “The Information Content of the Implied Volatility Term Structure on Future Returns”. This study derives the theoretical relation between the term structure of implied variance and the expected excess returns of the underlying asset. Adopting three alternative approaches to compile the variables representing the information on the implied volatility index level and term structure, we show the important role of the term structure in determining future excess returns of the S&P 500 index. Both the in-sample and out-of-sample analyses suggest that the information content of the term structure variable is significant and a strong complement to that of the level variable, especially for shorter-term excess returns. The other part of dissertation is entitled as “The Information Content of Option-implied Tail Risk on the Future Returns of the Underlying Assets”, compiling option-implied tail loss and gain measures based on a deep out-of-the- money option pricing formula derived by applying ‘extreme value theory’, and then use these measures to investigate the information content of option-implied tail risk on the future returns of the underlying assets. Our empirical analysis shows that both tail measures implied by S&P 500 and VIX options can predict future changes in the corresponding underlying assets and are informative on the future returns of the S&P 500 index. The relationships are particularly strong during periods of economic recession and driven by the tail-risk premium.
Part I
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Bekaert, G., & Hoerova, M. (2014). The VIX, the Variance Premium and Stock Market Volatility. Journal of Econometrics, 183, 181-192.
Blair, J.B., Poon, S.H., & Taylor, S.J. (2001). Forecasting S&P 100 Volatility: The Incremental Information Content of Implied Volatilities and High-frequency Index Returns. Journal of Econometrics, 105, 5-26.
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Glasserman, P. (2004). Monte Carlo Methods in Financial Engineering (Vol. 53). Springer Science & Business Media.
Guo, H. & Whitelaw, R.F. (2006). Uncovering the Risk-return Relation in the Stock Market. Journal of Finance, 61, 1433-1463.
Hansen, P.R. & Lunde, A. (2006). Realized Variance and Market Microstructure Noise. Journal of Business and Economic Statistics, 24, 127-161.
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Johnson, T.L. (2016). Risk Premia and the VIX Term Structure. Journal of Financial and Quantitative Analysis, forthcoming.
Kozhan, R., Neuberger, A., & Schneider, P. (2013). The Skew Risk Premium in the Equity Index Market. Review of Financial Studies, 26, 2174-2203.
Li, J. & Zinna, G. (2017). The Variance Risk Premium: Components, Term Structures, and Stock Return Predictability. Journal of Business and Economic Statistics, 1-15.
Lin, Y.N. (2013). VIX Option Pricing and CBOE VIX Term Structure: A New Methodology for Volatility Derivatives Valuation. Journal of Banking and Finance 37, 4432-4446.
Luo, X.G. & Zhang, J.E. (2012). The Term Structure of VIX. Journal of Futures Markets, 32, 1092-1123.
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Part II
Andersen, T.G., Bollerslev, T., Diebold, F.X., & Labys, P. (2001). The distribution of realized exchange rate volatility. Journal of the American Statistical Association, 96, 42-55.
Andersen, T.G., Fusari, N., & Todorov, V. (2015). The risk premia embedded in index options. Journal of Financial Economics, 117, 558-584.
Bakshi, G.S., Kapadia, N., & Madan, D. (2003). Stock return characteristics, skew laws and the differential pricing of individual equity options. Review of Financial Studies, 16, 101-143.
Bakshi, G., Panayotov, G., & Skoulakis, G. (2011). Improving the Predictability of Real Economic Activity and Asset Returns with Forward Variances Inferred from Option Portfolios. Journal of Financial Economics, 100, 475-495.
Banerjee, P.S., Doran, J.S., & Peterson, D.R. (2007). Implied Volatility and Future Portfolio Returns. Journal of Banking and Finance, 31, 3183-3199.
Barro, R.J. (2006). Rare disasters and asset markets in the twentieth century. Quarterly Journal of Economics, 121, 823-866.
Bekaert, G., & Hoerova, M. (2014). The VIX, the variance premium and stock market volatility. Journal of Econometrics, 183, 181-192.
Blair, B.J., Poon, S.H., & Taylor, S.J. (2001). Modelling S&P 100 volatility: The information content of stock returns. Journal of Banking and Finance, 25, 1665-1679.
Bliss, R.R., & Panigirtzoglou, N. (2002). Testing the stability of implied probability density functions. Journal of Banking and Finance, 26, 381-422.
Bollerslev, T., Tauchen, G., & Zhou, H. (2009). Expected stock returns and variance risk premium. Review of Financial Studies, 22, 4463-4492.
Bollerslev, T., Todorov, V., & Xu, L. (2015). Tail risk premia and return predictability. Journal of Financial Economics, 118, 113-134.
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Buss, A., & Vilkov, G. (2012). Measuring equity risk with option-implied correlations. Review of Financial Studies, 25, 3113-3140.
Christensen, B.J., & Prabhala, N.R. (1998). The relationship between implied and realized volatility. Journal of Financial Economics, 50, 125-150.
Christoffersen, P., Jacob, K., & Chang, B.Y. (2013). Forecasting with option-implied information. Handbook of Economic Forecasting, 2, 581-656.
Chung, S.L., Tsai, W.C., Wang Y.H., & Weng, P.S. (2011). The information content of the S&P 500 index and VIX options on the dynamics of the S&P 500 index. Journal of Futures Markets, 31, 1170-1201.
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Feunou, B., Fontaine, J.S., Taamouti, A., & Tedongap, R. (2014). Risk premium, variance premium and the maturity structure of uncertainty. Review of Finance, 18, 219-269.
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