Cross section of option returns and idiosyncratic stock volatility

Keyphrases

• Stock Market Volatility 100%
• Idiosyncratic Volatility 100%
• Cross-sectional Returns 100%
• Risk Factors 33%
• Stock Market 33%
• Negative Relations 33%
• Dealers 33%
• Market Imperfections 33%
• Return Volatility 33%
• Arbitrage Costs 33%
• Financial Intermediaries 33%
• Equity Options 33%
• Option Returns 33%
• Standard Risk 33%
• Limits-to-arbitrage 33%
• Delta-hedged Option Returns 33%
• Underlying Stocks 33%
• High Premium 33%
• Option Mispricing 33%

Economics, Econometrics and Finance

• Volatility 100%
• Idiosyncratic Volatility 100%
• Arbitrage 66%
• Returns Volatility 33%
• Incomplete Market 33%
• Risk Factor 33%