이질적 기대와 옵션투자 수요

This paper derives the risk-neutral probability distributions from the market prices of index options, and then extend the theoretical study of Carr and Madan(2001) to examine how the demand for options of investors with heterogeneous beliefs can be determined. It helps to understand the option returns anomaly and the resulting puzzle of supply-demand imbalance of the index options market, which are difficult to explain with the traditional investment theory assuming a representative agent with a homogeneous expectation. Assuming two groups of investors with different heterogeneous expectations, we observed the following results in the S&P500 index options market from 2004 to 2017. First, each investor group has different expectations in mean, volatility, skewness, and kurtosis of underlying stock index returns, but among them, the mean returns shows the largest difference. Accordingly, the optimal investment strategy of each investor group significantly differs in the aspect of exposure to market risk rather than exposure to volatility. Second, the heterogeneous expectations between each investor groups tend to widen when market uncertainty increases, such as the Global Financial Crisis in 2008 and the European Sovereign Debt Crisis in 2010 and 2011. Finally, even though considering their own different heterogeneous expectations for future stock markets, the performance of each investor group is not better than the simple strategy of buy-and-hold of stock index.