Based on a novel rescaled option-implied Value-at-Risk (rVaR) measure, we show that option-implied information is priced differently depending on whether it is based on options with strikes close to the current price of the underlying or far-out-of-the-money options. If the rVaR is estimated from options close-to-the-money, i.e., the 50% rVaR, stocks with high risk outperform stocks with low risk by 0.60% per month, in line with downside risk-averse investors. In contrast, if rVaR is estimated from far-out-of-the-money options, i.e., the 90% rVaR, stocks with high risk underperform stocks with low risk by 0.42% per month, implying that stocks with low risk have higher returns in the cross-section of returns. Our results are consistent with investors who prefer reliable information over unreliable information and explain contradictory results of prior studies.

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期权隐含的风险价值和股票收益的横截面

基于一种新颖的经重新调整的期权隐含风险价值（rVaR）度量，我们表明，期权隐含信息的定价有所不同，具体取决于它所基于的期权行权价接近于标的资产的当前价格还是远价期权。价廉的选择。如果根据接近价格的期权（即50％rVaR）估算rVaR，则高风险股票的表现要比低风险股票的表现高出每月0.60％，这与不愿承担风险的下行投资者一致。相反，如果根据遥远的期权（即90％rVaR）估算rVaR，则高风险股票的表现落后于低风险股票，每月的收益为0.42％，这意味着低风险股票的收益较高在收益的横截面中。