题目：
1. “Idiosyncratic Risk, Costly Arbitrage, and the Cross-Section of Stock Returns”
2. “Cross-Section of Option Returns and Idiosyncratic Stock Volatility”
讲座人：Jie (Jay) Cao博士 香港中文大学
时 间：2012年5月24日（星期四）下午16：30—18：00
地 点：厦门大学经济楼D110
主办单位：厦门大学 王亚南经济研究院 经济学院
摘要：
1. “Idiosyncratic Risk, Costly Arbitrage, and the Cross-Section of Stock Returns”
Abstract: We test a new cross-sectional relation between expected stock return and idiosyncratic risk implied by the theory of limits to arbitrage. If idiosyncratic risk prevents arbitrageurs from offsetting the choices of irrational inventors and arbitrageurs find it more difficult to correct the mispricing of stocks with high idiosyncratic risk, then there should be a positive relation between expected return and expected idiosyncratic volatility for relatively undervalued stocks, but a negative relation for relatively overvalued stocks. We combine several well-known anomalies to measure a stock's relative mispricing. We confirm that average stock returns monotonically increase (decrease) with idiosyncratic risk for relatively undervalued (overvalued) stocks. Overall, our paper supports limits to arbitrage and idiosyncratic risk as an important arbitrage cost.
2. “Cross-Section of Option Returns and Idiosyncratic Stock Volatility”
Abstract: This paper documents a robust new finding that delta-hedged equity option return decreases monotonically with an increase in the idiosyncratic volatility of the underlying stock. Buying calls on low idiosyncratic volatility stocks and selling calls on high idiosyncratic volatility stocks (both delta-hedged) on average earns about 1.4% over the next month. Our results can not be explained by standard stock market risk factors or volatility risk premium. They are distinct from existing anomalies in the stock market or volatility-related option mispricing. Our results are consistent with theory of option pricing under market imperfections. Option dealers charge a higher premium for options on high idiosyncratic volatility stocks because these options have higher arbitrage costs. Controlling for several limits to arbitrage proxies reduces the strength of the negative relation between delta-hedged option return and idiosyncratic volatility by about 40%.
