Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/210429 
Erscheinungsjahr: 
2018
Schriftenreihe/Nr.: 
Working Paper No. 874
Verlag: 
Queen Mary University of London, School of Economics and Finance, London
Zusammenfassung: 
We derive a model-free option-based formula to estimate the contribution of market frictions to expected returns (CFER) within an asset pricing setting. We estimate CFER for the U.S. optionable stocks. We document that CFER is sizable, it predicts stock returns and it subsumes the effect of frictions on expected returns as expected theoretically. The sizable alpha of a long-short portfolio formed on CFER is consistent with the size of market frictions and it is not due to model mis-specification. Moreover, we show that various option-implied measures proxy CFER, thus providing a theoretical explanation for their ability to predict stock returns.
Schlagwörter: 
Alpha
Asset pricing
Implied volatility spread
Limits of arbitrage
Market frictions
Return predictability
JEL: 
C13
G12
G13
Dokumentart: 
Working Paper

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