This paper examines the relationship between investor sentiment and stock index options. More specifically, it investigates the contrasting impact of individual and institutional investor sentiment on value and growth stock options. We take the Nasdaq 100 and Russell 2000 Growth indexes as...

This paper builds upon and extends Bali and Murray (2013) to investigate skewness preferences when investors with heterogeneous expectations hold long skewness positions. When investors are pessimistic (either pessimistic or optimistic), their overconfidence produces a downward (upward) bias...

We find that investor attention proxies proposed in the literature collectively have a common component that has significant power in predicting stock market risk premium, both in-sample and out-of-sample. This common component is well extracted by using partial least squares, scaled principal...