Learning and Index Option Returns

Little is known about the economic sources that may generate the abnormal returns observed in put index options. We show that the learning process followed by investors may be one such source. We develop an equilibrium model under partial information in which a rational Bayesian learner prices put option contracts. Our model generates put option returns similar to the empirical returns of S&P 500 put index options. This result is not obtained when we analyze alternative setups of the model in which no learning process exists.

目前学界对可能导致股指看跌期权出现异常收益的经济成因尚不清楚。我们的研究表明，投资者所遵循的学习过程正是这类成因之一。我们构建了一个部分信息下的均衡模型，其中理性贝叶斯学习者（rational Bayesian learner）为看跌期权合约定价。我们的模型生成的看跌期权收益与标普500（S&P 500）股指看跌期权的实证收益高度相似。而当我们分析该模型不含学习过程的替代设定时，无法得到这一结果。