This paper explores the profitability of simple short-term cross-sectional trading strategies based on the implied volatility index (VIX), often referred to as an “investor fear gauge” in the stock market. These strategies involve holding sentiment-prone stocks when VIX is low and sentiment-immune stocks when VIX is high and generate significantly higher excess returns than the benchmark long–short portfolios that do not condition on VIX. We show that the profitability of our trading strategies is not subsumed by the well-known risk factors or transaction cost adjustments. Our findings are consistent with the theory of delayed arbitrage and the synchronization problem of Abreu and Brunnermeier (2002).

本文探讨了基于隐含波动率指数 (VIX) 的简单短期横截面交易策略的盈利能力，该指数在股市中通常被称为“投资者恐惧指标”。这些策略涉及在 VIX 低时持有情绪倾向股票，在 VIX 高时持有情绪免疫股票，并产生比不以 VIX 为条件的基准多空投资组合高得多的超额回报。我们表明，我们交易策略的盈利能力并未包含在众所周知的风险因素或交易成本调整中。我们的发现与 Abreu 和 Brunnermeier (2002) 的延迟套利理论和同步问题一致。