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.

基于一种新颖的重新调整的期权隐含风险价值（rVaR）衡量标准，我们表明期权隐含信息的定价有所不同，具体取决于它是基于行使价接近标的物当前价格还是远超标的物当前价格的期权。价内期权。如果根据接近价值的期权估算 rVaR，即 50% rVaR，则高风险股票每月的表现优于低风险股票 0.60%，这与厌恶下行风险的投资者一致。相反，如果根据远虚值期权（即 90% rVaR）估计 rVaR，则高风险股票的表现每月比低风险股票低 0.42%，这意味着低风险股票的回报率较高在回报的横截面中。我们的结果与投资者一致，他们更喜欢可靠的信息而不是不可靠的信息，并解释了先前研究的矛盾结果。