Tuning in to Frequencies: How Global Assets Align with U.S. Put-Call Parity Residuals
Fuente:
arXiv
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| Natura: | Preprint |
| Pubblicazione: |
2026
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| _version_ | 1866913159081623552 |
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| author | Shin, Useong |
| author_facet | Shin, Useong |
| contents | Put-call parity is risk-neutral at terminal payoff, but its enforcement is path-dependent and capital-using. I test whether the SPX and RUT carry gap is explained by OIS-based funding, volatility, trading-friction, and financial-condition variables, or also by residual outside-option information. Adding IEFA, IGOV, and IAU improves in-sample and leave-one-year-out fit after U.S.-centered controls. Gains survive broad-dollar neutralization, alternative blocks, PCA, residualization, and nested horizon selection. Results support reduced-form P-Q alignment: finite-capital parity enforcement reflects physical-measure investment opportunities, not payoff-level no-arbitrage failure. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2604_19605 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | Tuning in to Frequencies: How Global Assets Align with U.S. Put-Call Parity Residuals Shin, Useong General Finance Put-call parity is risk-neutral at terminal payoff, but its enforcement is path-dependent and capital-using. I test whether the SPX and RUT carry gap is explained by OIS-based funding, volatility, trading-friction, and financial-condition variables, or also by residual outside-option information. Adding IEFA, IGOV, and IAU improves in-sample and leave-one-year-out fit after U.S.-centered controls. Gains survive broad-dollar neutralization, alternative blocks, PCA, residualization, and nested horizon selection. Results support reduced-form P-Q alignment: finite-capital parity enforcement reflects physical-measure investment opportunities, not payoff-level no-arbitrage failure. |
| title | Tuning in to Frequencies: How Global Assets Align with U.S. Put-Call Parity Residuals |
| topic | General Finance |
| url | https://arxiv.org/abs/2604.19605 |