복권 성향 선호와 ELW 수익률간의 관계
The Relation between Lottery Preferences and Returns on ELW
박태영(KAIST 경영대학); 정기호(KAIST)
43권 3호, 15~35쪽
초록
In this study, we find that a negative correlation exists between the expected return of call ELW and the lottery-likeness of underlying stocks. Call ELW, with lottery-like stocks as the underlying asset, underperforms by 52.6% every quarter relative to its counterpart. This phenomenon is not driven by any known risk factors. The overpricing of call ELW written on lottery-like stocks cannot be fully explained by the overpricing of underlying stocks. Much more violation of put-call parity exists when its underlying stock has more lottery characteristics.
Abstract
In this study, we find that a negative correlation exists between the expected return of call ELW and the lottery-likeness of underlying stocks. Call ELW, with lottery-like stocks as the underlying asset, underperforms by 52.6% every quarter relative to its counterpart. This phenomenon is not driven by any known risk factors. The overpricing of call ELW written on lottery-like stocks cannot be fully explained by the overpricing of underlying stocks. Much more violation of put-call parity exists when its underlying stock has more lottery characteristics.
- 발행기관:
- 한국경영과학회
- 분류:
- 경영학