التفاصيل البيبلوغرافية
| العنوان: |
Option Return Predictability with Machine Learning and Big Data. |
| المؤلفون: |
Bali, Turan G1 (AUTHOR) turan.bali@georgetown.edu, Beckmeyer, Heiner2 (AUTHOR), Mörke, Mathis3 (AUTHOR), Weigert, Florian4 (AUTHOR) |
| المصدر: |
Review of Financial Studies. Sep2023, Vol. 36 Issue 9, p3548-3602. 55p. |
| مصطلحات موضوعية: |
*BIG data, *RATE of return, *STOCKS (Finance), *PROFIT, *ECONOMIC forecasting, *OPTIONS (Finance), MACHINE learning, EQUITY management |
| مستخلص: |
Drawing upon more than 12 million observations over the period from 1996 to 2020, we find that allowing for nonlinearities significantly increases the out-of-sample performance of option and stock characteristics in predicting future option returns. The nonlinear machine learning models generate statistically and economically sizable profits in the long-short portfolios of equity options even after accounting for transaction costs. Although option-based characteristics are the most important standalone predictors, stock-based measures offer substantial incremental predictive power when considered alongside option-based characteristics. Finally, we provide compelling evidence that option return predictability is driven by informational frictions and option mispricing. Authors have furnished an Internet Appendix , which is available on the Oxford University Press Web site next to the link to the final published paper online. [ABSTRACT FROM AUTHOR] |
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| قاعدة البيانات: |
Business Source Index |