This paper analyzes the forecasting ability of option-implied distributions of 12 stock indexes representative of the most relevant economic regions for a long period ranging from 1996 to 2021. After performing alternative tests, the rejection of the forecasting ability of the risk-neutral densi (RNDs) is not evident, since results are mixed depending on the test performed and market studied: The forecasting ability of the RNDs of East Asian indexes as well as other smaller European economies cannot be discarded. In addition, subjective (actual) probability densit (SPDs) resulting from the risk adjustments of the RNDs using constanCRRA) preferences improve substantially the test results, leading to a general failure to reject their forecasting ability.

中文翻译：

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期权隐含分布预测能力的国际证据

本文分析了1996年至2021年较长时期内代表最相关经济区域的12个股票指数的期权隐含分布的预测能力。经过替代检验，拒绝了风险中性密度的预测能力（ RND）并不明显，因为根据所进行的测试和研究的市场，结果各不相同：东亚指数以及其他较小的欧洲经济体的 RND 的预测能力不能被放弃。此外，使用 constanCRRA）偏好对 RND 进行风险调整而产生的主观（实际）概率密度（SPD）大大改善了测试结果，导致普遍无法拒绝其预测能力。