核与能源相关股票的方差风险溢价获取：一种看跌期权空头的投资组合去风险策略
Harvesting the Variance Risk Premium in Nuclear and Energy Equities: A Short-Put Portfolio Derisking Strategy
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中文总结 AI 辅助
本研究利用CRSP与OptionMetrics数据构建核相关企业的现金担保看跌期权空头策略，发现该策略期权权利金为正、胜率高且波动率低于等权重股票基准，可获取核与能源相关股票的方差风险溢价。
中文摘要 AI 辅助
本研究探讨核与能源相关股票期权是否存在可获取的方差风险溢价。利用2000-2024年CRSP与OptionMetrics数据，我们针对筛选后的核相关企业构建系统性现金担保看跌期权空头策略。该策略比较平值看跌期权隐含波动率与基于GARCH的已实现波动率预测，进而评估无条件及经隐含波动率/已实现波动率过滤的看跌期权卖出投资组合。结果显示，该策略期权平均权利金为正，胜率较高，波动率远低于等权重股票基准，不过其表现是在扣除交易成本前且基于固定标的 universe 的情况下测得。
英文摘要
We study whether nuclear and energy-adjacent equity options exhibit a harvestable variance risk premium. Using CRSP and OptionMetrics data for 2000-2024, we construct a systematic cash-secured short-put strategy on a curated universe of nuclear-related firms. The strategy compares at-the-money put implied volatility with GARCH-based realized volatility forecasts, then evaluates unconditional and IV/RV-filtered put-writing portfolios. The results show positive average option premia, high win rates, and substantially lower volatility than an equal-weight stock benchmark, though performance is measured before transaction costs and with a fixed universe.
发表机构
- Pennsylvania State University（宾夕法尼亚州立大学）
机构由 AI 辅助整理，请以论文原文为准。
