期权隐含偏度风险溢酬:来自中国台湾市场的证据

偏度风险溢酬是投资者对偏度风险所要求的回报,可由已实现偏度期望与风险中性偏度期望(隐含偏度)相减得到,其中包含了丰富的信息含量.本文运用Neuberger提出的无模型方法,通过构建方差互换和偏度互换合约,从台指期权价格数据中得到了已实现三阶矩和隐含三阶矩,然后根据Kozhan等的定义进一步得到已实现偏度和隐含偏度,将二者之差作为隐含偏度风险溢酬.本文对偏度风险溢酬的基本特征、信息含量、预测力和影响因素进行了研究,研究发现:中国台湾市场上的期权隐含偏度风险溢酬显著异于零,偏度风险是系统性风险,这一风险因子与市场风险因子有关,但仍然是异于市场风险的定价因子;中国台湾市场上的期权隐含偏度风险溢酬的确含有未来市场尾部风险的信息,但却并不能对未来真实的尾部风险进行准确的预测,其更多地是受到投资者情绪的影响:投资者情绪越高涨,所要求的偏度风险溢酬越低,反之亦然.

The option-implied skewness risk premium: Evidence from Taiwan China market

The skewness risk premium is the skewness risk return which required by investors, and it is measured by the difference between expectation of realized skewness and risk-neutral skewness (implied skewness), which contains abundant information. By using the model-free method in Neuberger, this paper extracts the realized third moment and implied third moment in Taiwan option market through the technique calls variance swap and skewness swap contracts. Then according to the definition of Kozhan, et al, we get the realized skewness and implied skewness. Last, we extract the implied skewness risk premium, which is the difference between the realized skewness and implied skewness. We study the characteristics of the implied skewness risk premium, its information content, predictive power and influence factors. This paper finds that the implied skewness risk premium is significantly different from zero, and it is systematic risk, and it is related with the market risk factor, but it is a new explanatory factor differs from market risk factor. And the implied skewness risk premium contains the tail risk information, but it can not make a precise prediction on segmentation of tail risk. It is more influenced by investor sentiment:when the sentiment of investors is high, the required skewness risk premium is low, and vice versa.