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題名 Relevance of the Disposition Effect on the Options Market: New Evidence
作者 周冠男
Chou, Robin K.
江彌修
Mi-Hsiu, Chiang
邱信瑜
Chiu, Hsin-Yu
貢獻者 財管系
關鍵詞 Disposition Effect; Option Markets; Capital Gains Overhang
日期 2021-03
上傳時間 26-May-2020 13:41:32 (UTC+8)
摘要 A moneyness‐based propensity to sell (MPS) measure, at the aggregate level, determines the propensity of option holders to exercise their winning relative to losing positions. Using data on individual stock and S&P 500 index options, we find that the MPS measure has significant predictive power over the cross‐section of delta‐hedged option returns. We test the disposition effect in the options market based on a long‐short strategy that exploits price distortions induced by the disposition bias. More pronounced evidence of the disposition bias is found for individual at‐the‐money call options than put options, where the significance of abnormal returns remains robust across different subsamples, even after we control for the portfolio option greeks and the market‐based risk factors. The profitability of the long‐short strategy is related to limit‐to‐arbitrage proxies, suggesting that behavioral explanations help explain the positive relation between the MPS measure and delta‐hedged option returns.
關聯 Financial Management, Vol.50, No.1, pp.75-106
資料類型 article
DOI https://doi.org/10.1111/fima.12309
dc.contributor 財管系-
dc.creator (作者) 周冠男-
dc.creator (作者) Chou, Robin K.-
dc.creator (作者) 江彌修-
dc.creator (作者) Mi-Hsiu, Chiang-
dc.creator (作者) 邱信瑜-
dc.creator (作者) Chiu, Hsin-Yu-
dc.date (日期) 2021-03-
dc.date.accessioned 26-May-2020 13:41:32 (UTC+8)-
dc.date.available 26-May-2020 13:41:32 (UTC+8)-
dc.date.issued (上傳時間) 26-May-2020 13:41:32 (UTC+8)-
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/129864-
dc.description.abstract (摘要) A moneyness‐based propensity to sell (MPS) measure, at the aggregate level, determines the propensity of option holders to exercise their winning relative to losing positions. Using data on individual stock and S&P 500 index options, we find that the MPS measure has significant predictive power over the cross‐section of delta‐hedged option returns. We test the disposition effect in the options market based on a long‐short strategy that exploits price distortions induced by the disposition bias. More pronounced evidence of the disposition bias is found for individual at‐the‐money call options than put options, where the significance of abnormal returns remains robust across different subsamples, even after we control for the portfolio option greeks and the market‐based risk factors. The profitability of the long‐short strategy is related to limit‐to‐arbitrage proxies, suggesting that behavioral explanations help explain the positive relation between the MPS measure and delta‐hedged option returns.-
dc.format.extent 1368962 bytes-
dc.format.mimetype application/pdf-
dc.relation (關聯) Financial Management, Vol.50, No.1, pp.75-106-
dc.subject (關鍵詞) Disposition Effect; Option Markets; Capital Gains Overhang-
dc.title (題名) Relevance of the Disposition Effect on the Options Market: New Evidence-
dc.type (資料類型) article-
dc.identifier.doi (DOI) 10.1111/fima.12309-
dc.doi.uri (DOI) https://doi.org/10.1111/fima.12309-