Niclas Robin Käfer
Last Name
Käfer
First name
Niclas Robin
Email
niclasrobin.kaefer@unisg.ch
Phone
+41 71 224 76 42
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Item type:Publication, Options on Drugs: Industry Exposure and Option Anomalies(2025)On average, writing options on pharmaceutical stocks yields higher returns than writing options on stocks in any other industry. The exposure to options on pharmaceuticals helps explain the persistent returns of delta-hedged option strategies, such as sorting options based on corporate cash holdings. Pharmaceutical stocks exhibit high growth potential and strong lottery features related to drug trials and development, leading to increased option demand and risk to option writing. Furthermore, the biotechnology bubble of the early 2000s inhibits common option risk factors from fully capturing the returns of pharmaceutical options.Type:working paper