Aurelio Vasquez | 第194期双周学术论坛：Firm Leverage and Equity Option Returns

一、主题：Firm Leverage and Equity Option Returns

二、主讲人：Aurelio Vasquez，ITAM (Mexico Autonomous Institute of Technology) 助理教授。加拿大麦吉尔大学（McGill University）金融学博士毕业。主要研究领域：实证资产定价、金融衍生品、风险管理和固定收益。研究成果在Journal of Financial Economics、Journal of Financial and Quantitative Analysis等国外高水平金融学期刊发表。

三、时间：2017年3月22日（周三），12:30-13:30

四、地点：学院南路校区主教学楼910会议室

五、主持人：朱一峰，必赢565net官网讲师

Abstract: This paper studies the effect of firm's capital structure on the delta-hedged option returns written on leveraged equity of the firm. Theoretically, we use a capital structure model with a double-exponential jump diffusion process to derive the expected delta-hedged return of an equity option portfolio. We show that delta-hedged returns are negatively related to leverage. The empirical evidence confirms the model prediction. The results are robust to other determinants of options returns such as idiosyncratic volatility, historical volatility minus implied volatility, and the slope of the volatility term structure.