We measure investors' short- and long-term stock-return expectations using both options and survey data. These …

options to examine the response of option IV, as well as higher moments of the underlying return distribution, to … macroeconomic announcements. Additionally, the authors identify the response of the moments as a function of moneyness of the … options. Findings –The findings suggest that in-the-money and out-of-the money options have difference characteristics in …

index options to examine the response of option IV, as well as higher moments of the underlying return distribution, to … macroeconomic announcements. Additionally, the authors identify the response of the moments as a function of moneyness of the … options. Findings – The findings suggest that in-the-money and out-of-the money options have difference characteristics in …