主题｜Topic：Option-Implied Information and the Momentum Cycle
时间｜Time：4月11号（周四）｜April 11th (Thursday), 3：30 -5：00PM
地点｜Venue：文澴711会议室｜Meeting Room 711，WENHUAN
主讲｜Speaker
刘博士即将毕业于中国台湾大学财务金融系，主要研究资产定价、行为金融等领域。已在Journal of Futures Markets等期刊发表文章。
研究领域｜Research Interests
资产定价、行为金融
Asset Pricing，Behavior Finance
摘要｜Abstract
本论文使用选择权隐含信息包含隐含波动率利差与隐含波动率偏斜来辨识股票的价格动能阶段。我们发现早期(晚期)动能投资策略优于(劣于)传统动能投资策略，而且早期(晚期)动能投资策略的价格反转较传统动能投资策略缓慢(迅速)。除此之外，相较于区分赢家的动能阶段，我们发现选择权隐含信息较有能力区分输家的动能阶段，所以早期动能的优越表现主要来自于输家的贡献。整理而言，实证结果显示选择权隐含信息能够辨识价格动能阶段。
We employ options-implied information derived from implied volatility spreads and implied volatility skews to identify the momentum stage of stocks. We show that the early-stage (late-stage) momentum strategy of buying identified early-stage (late-stage) winners and selling identified early-stage (late-stage) losers outperforms (underperforms) the conventional momentum strategy of buying winners and selling losers across all momentum stages. We also find that the price momentum of the early-stage (late-stage) momentum strategy experiences slower (faster) reversal than that of the conventional momentum strategy. The outperformance of the early-stage momentum strategy comes primarily from the contribution of losers, as options-implied measures have the ability to better place losers in their momentum stages than winners. Overall, our empirical results indicate that options-implied information is useful in identifying stocks’ momentum stages.
