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A Bayesian Stochastic Discount Factor for the Cross-Section of Individual Equity Options

https://doi.org/10.2139/ssrn.4710335
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Outgoing claims: the papers this work cites, builds on, or argues with.

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Common risk factors in the returns on stocks and bonds
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Volatility-of-volatility and the cross-section of option returns
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Stock illiquidity and option returns
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The relation between corporate financing activities, analysts’ forecasts and stock returns
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Cross-section of option returns and volatility☆
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Maxing out: Stocks as lotteries and the cross-section of expected returns
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Cash holdings, risk, and expected returns
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The option to stock volume ratio and future returns
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Cross section of option returns and idiosyncratic stock volatility
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The other side of value: The gross profitability premium
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A five-factor asset pricing model
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Gambling preference and individual equity option returns
inferredcites →https://doi.org/10.1016/j.jfineco.2017.06.015openalex-extracted
Volatility of Aggregate Volatility and Hedge Fund Returns
inferredcites →https://doi.org/10.1016/j.jfineco.2017.08.002openalex-extracted
Intermediary asset pricing: New evidence from many asset classes
inferredcites →https://doi.org/10.1016/j.jfineco.2018.02.012openalex-extracted
Choosing factors
inferredcites →https://doi.org/10.1016/j.jfineco.2019.06.008openalex-extracted
Shrinking the cross-section
inferredcites →https://doi.org/10.1016/j.jfineco.2020.07.020openalex-extracted
The cross-section of intraday and overnight returns
inferredcites →https://doi.org/10.1016/j.jfineco.2021.03.006openalex-extracted
Mispricing, Short-Sale Constraints, and the Cross-Section of Option Returns
inferredcites →https://doi.org/10.1016/j.jfineco.2021.12.007openalex-extracted
A factor model for option returns
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Breadth of ownership and stock returns
inferredcites →https://doi.org/10.1016/s1386-4181(01)00024-6openalex-extracted
Illiquidity and stock returns: cross-section and time-series effects
inferredcites →https://doi.org/10.1016/s1386-4181(97)00004-9openalex-extracted
Liquidity and stock returns: An alternative test
inferredcites →https://doi.org/10.1017/s0022109010000220openalex-extracted
What Does the Individual Option Volatility Smirk Tell Us About Future Equity Returns?
inferredcites →https://doi.org/10.1017/s0022109013000100openalex-extracted
Speculative Retail Trading and Asset Prices
inferredcites →https://doi.org/10.1017/s002210901700076xopenalex-extracted
Equity Volatility Term Structures and the Cross Section of Option Returns
inferredcites →https://doi.org/10.1017/s0022109019000310openalex-extracted
Volatility and Expected Option Returns
inferredcites →https://doi.org/10.1017/s0022109025000225openalex-extracted
Option Factor Momentum
inferredcites →https://doi.org/10.1086/260062openalex-extracted
The Pricing of Options and Corporate Liabilities
inferredcites →https://doi.org/10.1086/374184openalex-extracted
Liquidity Risk and Expected Stock Returns
inferredcites →https://doi.org/10.1093/rapstu/raab022openalex-extracted
Embedded Leverage
inferredcites →https://doi.org/10.1093/rapstu/raad003openalex-extracted
Limits of Arbitrage and Primary Risk-Taking in Derivative Securities
inferredcites →https://doi.org/10.1093/rfs/hhaa009openalex-extracted
Empirical Asset Pricing via Machine Learning
inferredcites →https://doi.org/10.1093/rfs/hhaa010openalex-extracted
Options Trading Costs Are Lower than You Think
inferredcites →https://doi.org/10.1093/rfs/hhaa020openalex-extracted
Factors That Fit the Time Series and Cross-Section of Stock Returns
inferredcites →https://doi.org/10.1093/rfs/hhab067openalex-extracted
Option Return Predictability
inferredcites →https://doi.org/10.1093/rfs/hhad017openalex-extracted
Option Return Predictability with Machine Learning and Big Data
inferredcites →https://doi.org/10.1093/rfs/hhag061openalex-extracted
Too Good to Be True: Look-Ahead Bias in Empirical Options Research
inferredcites →https://doi.org/10.1093/rfs/hhg002openalex-extracted
Delta-Hedged Gains and the Negative Market Volatility Risk Premium
inferredcites →https://doi.org/10.1093/rfs/hhg044openalex-extracted
Risks and Portfolio Decisions Involving Hedge Funds
inferredcites →https://doi.org/10.1093/rfs/hhn035openalex-extracted
Do Retail Trades Move Markets?
inferredcites →https://doi.org/10.1093/rfs/hhn038openalex-extracted
Variance Risk Premiums
inferredcites →https://doi.org/10.1093/rfs/hhn044openalex-extracted
Forecasting Default with the Merton Distance to Default Model
inferredcites →https://doi.org/10.1093/rfs/hhn049openalex-extracted
Small Trades and the Cross-Section of Stock Returns
inferredcites →https://doi.org/10.1093/rfs/hhp005openalex-extracted
Demand-Based Option Pricing
inferredcites →https://doi.org/10.1093/rfs/hhp008openalex-extracted
Expected Stock Returns and Variance Risk Premia
inferredcites →https://doi.org/10.1093/rfs/hht070openalex-extracted
When There Is No Place to Hide: Correlation Risk and the Cross-Section of Hedge Fund Returns
inferredcites →https://doi.org/10.1093/rfs/hhu039openalex-extracted
Tail Risk and Asset Prices
inferredcites →https://doi.org/10.1093/rfs/hhw101openalex-extracted
Which Alpha?
inferredcites →https://doi.org/10.1093/rfs/hhx019openalex-extracted
The Characteristics that Provide Independent Information about Average U.S. Monthly Stock Returns
inferredcites →https://doi.org/10.1093/rfs/hhx113openalex-extracted
Illiquidity Premia in the Equity Options Market
inferredcites →https://doi.org/10.1093/rfs/hhy030openalex-extracted
The History of the Cross-Section of Stock Returns
inferredcites →https://doi.org/10.1093/rof/rfac003openalex-extracted
Moneyness, Underlying Asset Volatility, and the Cross-Section of Option Returns
inferredcites →https://doi.org/10.1111/0022-1082.00046openalex-extracted
Is the Risk of Bankruptcy a Systematic Risk?
inferredcites →https://doi.org/10.1111/0022-1082.00348openalex-extracted
Underreaction, Overreaction, and Increasing Misreaction to Information in the Options Market
inferredcites →https://doi.org/10.1111/0022-1082.00490openalex-extracted
Differences of Opinion and the Cross Section of Stock Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.1964.tb02865.xopenalex-extracted
CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*
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SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION*
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Overreactions in the Options Market
inferredcites →https://doi.org/10.1111/j.1540-6261.1990.tb05110.xopenalex-extracted
Evidence of Predictable Behavior of Security Returns
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The Cross-Section of Expected Stock Returns
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Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
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On Persistence in Mutual Fund Performance
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The Cross‐Section of Volatility and Expected Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.2006.00884.xopenalex-extracted
Market Reactions to Tangible and Intangible Information
inferredcites →https://doi.org/10.1111/j.1540-6261.2006.00885.xopenalex-extracted
Investor Sentiment and the Cross‐Section of Stock Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.2008.01316.xopenalex-extracted
Individual Investor Trading and Stock Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.2008.01335.xopenalex-extracted
Share Issuance and Cross‐sectional Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.2009.01467.xopenalex-extracted
The Price of Correlation Risk: Evidence from Equity Options
inferredcites →https://doi.org/10.1111/j.1540-6261.2009.01483.xopenalex-extracted
Who Gambles in the Stock Market?
inferredcites →https://doi.org/10.1111/j.1540-6261.2011.01671.xopenalex-extracted
Presidential Address: Discount Rates
inferredcites →https://doi.org/10.1111/jofi.12365openalex-extracted
Does Academic Research Destroy Stock Return Predictability?
inferredcites →https://doi.org/10.1111/jofi.12380openalex-extracted
Order Flow and Expected Option Returns
inferredcites →https://doi.org/10.1111/jofi.13197openalex-extracted
Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models
inferredcites →https://doi.org/10.1111/jofi.13225openalex-extracted
Model Comparison with Transaction Costs
inferredcites →https://doi.org/10.1111/jofi.13249openalex-extracted
Is There a Replication Crisis in Finance?
inferredcites →https://doi.org/10.1111/jofi.13279openalex-extracted
Option Momentum
inferredcites →https://doi.org/10.1111/jofi.13285openalex-extracted
Retail Trading in Options and the Rise of the Big Three Wholesalers
inferredcites →https://doi.org/10.1111/jofi.13298openalex-extracted
The Virtue of Complexity in Return Prediction
inferredcites →https://doi.org/10.1257/aer.20131193openalex-extracted
Measuring Uncertainty
inferredcites →https://doi.org/10.1287/mnsc.2023.03071openalex-extracted
Stock Return Autocorrelations and Expected Option Returns
inferredcites →https://doi.org/10.1287/mnsc.2023.4796openalex-extracted
Default Risk and Option Returns
inferredcites →https://doi.org/10.1561/104.00000112openalex-extracted
Open Source Cross-Sectional Asset Pricing
inferredcites →https://doi.org/10.2139/ssrn.1262416openalex-extracted
Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns
inferredcites →https://doi.org/10.2139/ssrn.1639984openalex-extracted
When There is No Place to Hide - Correlation Risk and the Cross-Section of Hedge Fund Returns
inferredcites →https://doi.org/10.2139/ssrn.1784868openalex-extracted
Illiquidity Premia in the Equity Options Market
inferredcites →https://doi.org/10.2139/ssrn.274204openalex-extracted
Market Reactions to Tangible and Intangible Information
inferredcites →https://doi.org/10.2139/ssrn.3211106openalex-extracted
Factors That Fit the Time Series and Cross-Section of Stock Returns
inferredcites →https://doi.org/10.2139/ssrn.3290363openalex-extracted
Common Factors in Equity Option Returns
inferredcites →https://doi.org/10.2139/ssrn.3774514openalex-extracted
Is There a Replication Crisis in Finance?
inferredcites →https://doi.org/10.2139/ssrn.4589786openalex-extracted
The Co-Pricing Factor Zoo
inferredcites →https://doi.org/10.2139/ssrn.464843openalex-extracted
Investor Sentiment and the Cross-Section of Stock Returns
inferredcites →https://doi.org/10.2307/1913610openalex-extracted
A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
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The Use of DuPont Analysis by Market Participants
inferredcites →https://doi.org/10.3386/w19812openalex-extracted
The Price of Political Uncertainty: Theory and Evidence from the Option Market
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