This paper presents a robust new finding that delta-hedged equity option return decreases monotonically with an … is distinct from existing anomalies in the stock market or volatility-related option mispricing. It is consistent with … strength of the negative relation between delta-hedged option return and idiosyncratic volatility by about 40%. …

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 transactions translates into an imbalance in stock transactions …. This paper decomposes the total stock order imbalance into an imbalance induced by option transactions and an imbalance …

We examine the information content of option and equity volumes when trade direction is unobserved. In a multimarket … asymmetric information model, equity short-sale costs result in a negative relation between relative option volume and future … firm value. In our empirical tests, firms in the lowest decile of the option to stock volume ratio (O/S) outperform the …

We develop a discrete-time stochastic volatility option pricing model exploiting the information contained in the … Poor's 500 index options illustrates that our model outperforms competing time-varying and stochastic volatility option … pricing models. …

We document that short-horizon pricing discrepancies across firms' equity and credit markets are common and that an …