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Differences in Options Investors' Expectations and the Cross-Section of Stock Returns

https://doi.org/10.2139/ssrn.2595104
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The relationship between return and market value of common stocks
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Market reaction to anticipated announcements
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Common risk factors in the returns on stocks and bonds
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Costly arbitrage and the myth of idiosyncratic risk
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Option trading: Information or differences of opinion?
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Limited arbitrage and short sales restrictions: evidence from the options markets
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Short sales, institutional investors and the cross-section of stock returns
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Sell on the news: Differences of opinion, short-sales constraints, and returns around earnings announcements☆
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The impact of risk and uncertainty on expected returns☆
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O/S: The relative trading activity in options and stock
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Maxing out: Stocks as lotteries and the cross-section of expected returns
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The option to stock volume ratio and future returns
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Death and jackpot: Why do individual investors hold overpriced stocks?
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Dispersion in beliefs among active mutual funds and the cross-section of stock returns
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A five-factor asset pricing model
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Trading activity and expected stock returns
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Illiquidity and stock returns: cross-section and time-series effects
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Short-Sale Constraints, Differences of Opinion, and Overvaluation
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Deviations from Put-Call Parity and Stock Return Predictability
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Unknown Unknowns: Uncertainty About Risk and Stock Returns
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Risk, Return, and Equilibrium: Empirical Tests
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Differential Interpretation of Public Signals and Trade in Speculative Markets
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Stock Return Predictability and the Dispersion in Earnings Forecasts*
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Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options
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Analyst Forecasts and Herding Behavior:
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Illiquidity and Stock Returns II: Cross-Section and Time-Series Effects
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Delta-Hedged Gains and the Negative Market Volatility Risk Premium
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The Information in Option Volume for Future Stock Prices
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Option Market Activity
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Investor Sentiment and Option Prices
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Digesting Anomalies: An Investment Approach
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Mispricing Factors
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Chasing Private Information
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Gambling Preference and the New Year Effect of Assets with Lottery Features
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The Delisting Bias in CRSP's Nasdaq Data and Its Implications for the Size Effect
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Volume, Opinion Divergence, and Returns: A Study of Post-Earnings Announcement Drift
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Measuring Investors' Opinion Divergence
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ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*
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RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION
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Evidence of Predictable Behavior of Security Returns
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Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
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The Limits of Arbitrage
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The Cross‐Section of Volatility and Expected Returns
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Investor Sentiment and the Cross‐Section of Stock Returns
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Options and the Bubble
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Volatility Information Trading in the Option Market
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Option Trading, Price Discovery, and Earnings News Dissemination*
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The Joint Cross Section of Stocks and Options
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Belief Dispersion in the Stock Market
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Volatility Spreads and Expected Stock Returns
inferredcites →https://doi.org/10.1287/mnsc.2013.1841openalex-snapshot
Differences in Trading and Pricing Between Stock and Index Options
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Investor Sentiment, Beta, and the Cost of Equity Capital
inferredcites →https://doi.org/10.1287/mnsc.2015.2379openalex-snapshot
What Does Risk-Neutral Skewness Tell Us About Future Stock Returns?
inferredcites →https://doi.org/10.1287/mnsc.2016.2536openalex-snapshot
Dynamic Conditional Beta Is Alive and Well in the Cross Section of Daily Stock Returns
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The Impact of Risk and Uncertainty on Expected Returns
inferredcites →https://doi.org/10.2139/ssrn.1107464openalex-snapshot
What Does Individual Option Volatility Smirk Tell Us About Future Equity Returns?
inferredcites →https://doi.org/10.2139/ssrn.1262416openalex-snapshot
Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns
inferredcites →https://doi.org/10.2139/ssrn.1522218openalex-snapshot
Ex Ante Skewness and Expected Stock Returns
inferredcites →https://doi.org/10.2139/ssrn.1567243openalex-snapshot
Limits of Arbitrage: The State of the Theory
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Does Risk-Neutral Skewness Predict the Cross-Section of Equity Option Portfolio Returns?
inferredcites →https://doi.org/10.2139/ssrn.1958179openalex-snapshot
Dispersion in Beliefs among Active Mutual Funds and the Cross-Section of Stock Returns
inferredcites →https://doi.org/10.2139/ssrn.2008902openalex-snapshot
The Joint Cross Section of Stocks and Options
inferredcites →https://doi.org/10.2139/ssrn.2023066openalex-snapshot
Unknown Unknowns: Vol-of-Vol and the Cross-Section of Stock Returns
inferredcites →https://doi.org/10.2139/ssrn.2024416openalex-snapshot
Demand for Crash Insurance, Intermediary Constraints, and Risk Premia in Financial Markets
inferredcites →https://doi.org/10.2139/ssrn.2116702openalex-snapshot
Dynamic Conditional Beta is Alive and Well in the Cross-Section of Daily Stock Returns
inferredcites →https://doi.org/10.2139/ssrn.2190976openalex-snapshot
Have We Solved the Idiosyncratic Volatility Puzzle?
inferredcites →https://doi.org/10.2139/ssrn.2379606openalex-snapshot
Dispersion in Options Investors’ Versus Analysts’ Expectations: Predictive Inference for Stock Returns
inferredcites →https://doi.org/10.2139/ssrn.247049openalex-snapshot
Breadth of Ownership and Stock Returns
inferredcites →https://doi.org/10.2139/ssrn.2506683openalex-snapshot
Institutional Investors and Stock Return Anomalies
inferredcites →https://doi.org/10.2139/ssrn.2516054openalex-snapshot
Belief Dispersion in the Stock Market
inferredcites →https://doi.org/10.2139/ssrn.267106openalex-snapshot
Delta-Hedged Gains and the Negative Market Volatility Risk Premium
inferredcites →https://doi.org/10.2139/ssrn.274204openalex-snapshot
Market Reactions to Tangible and Intangible Information
inferredcites →https://doi.org/10.2139/ssrn.282451openalex-snapshot
Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options
inferredcites →https://doi.org/10.2139/ssrn.298865openalex-snapshot
Overconfidence and Speculative Bubbles
inferredcites →https://doi.org/10.2139/ssrn.464843openalex-snapshot
Investor Sentiment and the Cross-Section of Stock Returns
inferredcites →https://doi.org/10.2139/ssrn.972707openalex-snapshot
Market Sidedness: Insights into Motives for Trade Initiation
inferredcites →https://doi.org/10.2307/1884166openalex-snapshot
Speculative Investor Behavior in a Stock Market with Heterogeneous Expectations
inferredcites →https://doi.org/10.2307/1913610openalex-snapshot
A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
inferredcites →https://doi.org/10.2307/2329566openalex-snapshot
The Delisting Bias in CRSP Data
inferredcites →https://doi.org/10.2307/2937816openalex-snapshot
Fads, Martingales, and Market Efficiency
inferredcites →https://doi.org/10.2307/2946709openalex-snapshot
Speculative Investor Behavior and Learning
inferredcites →https://doi.org/10.2308/tar-1325287openalex-snapshot
Using analysts' forecasts to measure properties of analysts' information environment.
inferredcites →https://doi.org/10.3386/w10852openalex-snapshot
The Cross-Section of Volatility and Expected Returns
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Disagreement and Asset Prices
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Limited Arbitrage and Short Sales Restrictions: Evidence from the Options Markets
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