Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 1, 2021 erstellt
Description:
We provide the first comprehensive analysis of options-implied information for predicting the cross-section of stock returns by jointly examining extensive sets of firm and option characteristics. Using portfolio sorts and high-dimensional methods, we show that only few option characteristics have significant predictive power after controlling for firm characteristics, earning, e.g., a Fama-French three-factor alpha in excess of 20\% per annum. A structural analysis reveals that the strongest option characteristics are associated with information about asset mispricing, overvaluation and tail return realizations. Our findings are consistent with models of informed trading and limits to arbitrage