Joenväärä, Juha
[VerfasserIn]
;
Kauppila, Mikko
[Sonstige Person, Familie und Körperschaft];
Tolonen, Pekka
[Sonstige Person, Familie und Körperschaft]
Information Content of Hedge Fund Equity Option Holdings
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 20, 2018 erstellt
Beschreibung:
Using a representative sample of 13F reports providing novel information on option characteristics and prices, we document that hedge funds prefer to hold liquid high–embedded leverage options without lottery-like skewness. Various portfolios mimicking hedge funds' option holdings earn positive risk- and characteristics-adjusted returns, especially for option portfolios mimicking directional trades. Option positions also add value to hedge funds' total portfolios. Our main conclusions are not specific to the different market volatility states. Similar returns cannot be generated by stock portfolios formed by industry-level view (aggregate embedded leverage), suggesting that funds rationally chose the option market to exploit market incompleteness