In corporate finance and asset pricing empirical work, researchers are often confronted with
panel data. In these data sets, the residuals may be correlated across firms or across time …

We test for firm‐level asset investment effects in returns by examining the cross‐sectional
relation between firm asset growth and subsequent stock returns. Asset growth rates are …

We present strong evidence that option trading volume contains information about future
stock prices. Taking advantage of a unique data set, we construct put-call ratios from option …

The shape of the volatility smirk has significant cross-sectional predictive power for future
equity returns. Stocks exhibiting the steepest smirks in their traded options underperform …

Deviations from put-call parity contain information about future stock returns. Using the
difference in implied volatility between pairs of call and put options to measure these …

Stocks with large increases in call (put) implied volatilities over the previous month tend to
have high (low) future returns. Sorting stocks ranked into decile portfolios by past call …

Relatively little is known about the trading volume in derivatives relative to the volume in
underlying stocks. We study the time-series properties and the determinants of the …

After executing option orders, options market makers turn to the stock market to hedge away
the underlying stock exposure. As a result, the stock exposure imbalance in option …

This paper provides option pricing and volume implications for an economy with
heterogeneous agents who face model uncertainty and have different beliefs on expected …

This paper investigates informed trading on stock volatility in the option market. We construct
non‐market maker net demand for volatility from the trading volume of individual equity …