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Long-run and short-run idiosyncratic stock volatilities and cross-section of option returns

https://doi.org/10.2139/ssrn.5364823
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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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Asset pricing with liquidity risk
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Option valuation with long-run and short-run volatility components☆
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High idiosyncratic volatility and low returns: International and further U.S. evidence
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Idiosyncratic risk and the cross-section of expected stock returns
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Cross-section of option returns and volatility☆
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Cross section of option returns and idiosyncratic stock volatility
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A five-factor asset pricing model
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Does realized skewness predict the cross-section of equity returns?
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Have we solved the idiosyncratic volatility puzzle?
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Gambling preference and individual equity option returns
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Time varying risk aversion
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Do Idiosyncratic Jumps Matter?
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Salience theory and stock prices: Empirical evidence
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Mispricing, Short-Sale Constraints, and the Cross-Section of Option Returns
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Illiquidity and stock returns: cross-section and time-series effects
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The Information Content of Idiosyncratic Volatility
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Arbitrage Risk and Stock Mispricing
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Aggregate Idiosyncratic Volatility
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Does Risk-Neutral Skewness Predict the Cross-Section of Equity Option Portfolio Returns?
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Liquidity Biases and the Pricing of Cross-Sectional Idiosyncratic Volatility Around the World
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Does the Options Market Underreact to Firms'Left-Tail Risk?
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Risk, Return, and Equilibrium: Empirical Tests
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Limits of Arbitrage and Primary Risk-Taking in Derivative Securities
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Idiosyncratic Volatility, Growth Options, and the Cross-Section of Returns
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Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options
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Option Return Predictability
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Disagreement in the Equity Options Market and Stock Returns
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Option Return Predictability with Machine Learning and Big Data
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Delta-Hedged Gains and the Negative Market Volatility Risk Premium
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Can Growth Options Explain the Trend in Idiosyncratic Risk?
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Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market
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Demand-Based Option Pricing
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Return Reversals, Idiosyncratic Risk, and Expected Returns
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Variance Risk-Premium Dynamics: The Role of Jumps
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Liquidity Biases and the Pricing of Cross-sectional Idiosyncratic Volatility
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Liquidity Shocks and Stock Market Reactions
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Strategic News Releases in Equity Vesting Months
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Is the Risk of Bankruptcy a Systematic Risk?
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Economic Downturns and the Informativeness of Management Earnings Forecasts
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The Impact of Jumps in Volatility and Returns
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Growth options and firm valuation
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Lottery preferences and the idiosyncratic volatility puzzle
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A Simple Model of Capital Market Equilibrium with Incomplete Information
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Overreactions in the Options Market
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The Cross-Section of Expected Stock Returns
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The Limits of Arbitrage
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Market States and Momentum
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The Cross‐Section of Volatility and Expected Returns
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Analyst Disagreement, Mispricing, and Liquidity*
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Stock Returns and Volatility: Pricing the Short‐Run and Long‐Run Components of Market Risk
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Who Gambles in the Stock Market?
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Sentiment During Recessions
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Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle
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Option Momentum
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Unusual News Flow and the Cross Section of Stock Returns
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Tail Risk and Robust Portfolio Decisions
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The Calendar Effects of the Idiosyncratic Volatility Puzzle: A Tale of Two Days?
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The Short-Run and Long-Run Components of Idiosyncratic Volatility and Stock Returns
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Default Risk and Option Returns
inferredcites →https://doi.org/10.2139/ssrn.1572827openalex-snapshot
Does Risk-Neutral Skewness Predict the Cross-Section of Equity Option Portfolio Returns?
inferredcites →https://doi.org/10.2139/ssrn.2155491openalex-snapshot
Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle
inferredcites →https://doi.org/10.2139/ssrn.282451openalex-snapshot
Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options
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A Transaction Cost Perspective on Option Anomalies
inferredcites →https://doi.org/10.2139/ssrn.686821openalex-snapshot
Option Valuation with Long-Run and Short-Run Volatility Components
inferredcites →https://doi.org/10.2139/ssrn.891736openalex-snapshot
Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market
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A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
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Corporate Disclosure Practices, Institutional Investors, and Stock Return Volatility
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Do Growth-Option Firms Use Less Relative Performance Evaluation?
inferredcites →https://doi.org/10.3386/w13739openalex-snapshot
High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence
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A Rational Theory of Mutual Funds' Attention Allocation
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