Résumé
Using embeddings of the Risk Factors section of firms’ annual 10-K reports, we identify textual risk peers and show that their past option returns predict focal firms’ future option returns. This textual risk option momentum is present for calls and puts, survives controls for own-option momentum and standard option predictors, and subsumes most peer-based momentum factors built from analyst, industry, product-market, technology, customer-supplier, conglomerate, and geographic links. An economic interpretation emerges from the topic-level decomposition: the aggregate factor is concentrated in a small set of difficult-to-quantify risks, led by new product introduction, business operations, intellectual property, and patent protection.
Biographie
Aurelio Vasquez holds a PhD in Finance from McGill University, a Master’s in Mathematical Finance from the University of Toronto, and an undergraduate degree in industrial engineering. He is a professor of finance at ITAM in Mexico City. His research focuses on empirical asset pricing, particularly equities and equity options, and has been published in leading journals including the Journal of Finance, Review of Financial Studies, Journal of Financial Economics, Journal of Financial and Quantitative Analysis, and Management Science. Before entering academia, he worked for five years at Bank of Montreal in market risk and valuation, developing models and tools for value-at-risk, derivatives pricing, and risk measurement.
Aurelio Vasquez est titulaire d’un doctorat en finance de l’Université McGill, d’une maîtrise en finance mathématique de l’Université de Toronto et d’un diplôme de premier cycle en génie industriel. Il est professeur de finance à l’ITAM, à Mexico. Ses recherches portent sur l’évaluation empirique des actifs, en particulier les actions et les options sur actions, et ont été publiées dans des revues de premier plan, notamment le Journal of Finance, la Review of Financial Studies, le Journal of Financial Economics, le Journal of Financial and Quantitative Analysis et Management Science. Avant d’entreprendre une carrière universitaire, il a travaillé pendant cinq ans à la Banque de Montréal dans les domaines du risque de marché et de la valorisation, où il a développé des modèles et des outils pour le calcul de la valeur à risque, la valorisation des produits dérivés et la mesure des risques.