for option pricing and show that the information content of skewness leads to improved in-sample and out-of-sample pricing … of the volatility spread to skewness. We measure skewness from option prices and test these predictions. We find that … and does not offer sufficient flexibility to match the skewness and kurtosis implicit in option data. Finally, we document …

derivatives are traded primarily over the counter. I capture the limits of arbitrage in this market in a simple asset-pricing …-bearing capacity have particularly strong forecasting power for energy returns, both in sample and out of sample. -- Asset pricing …

that explicitly takes into account the value of the option to default (or abandon the fi rm). We show that anomalies exist …

We estimate the term structure of the price of variance risk (PVR), which helps distinguish between competing asset-pricing … of established asset-pricing models that assume constant risk aversion across maturities. …

We study whether prices of traded options contain information about future extreme market events. Our option … probability of the market crashes, beyond and above other option-implied variables. Stock-specific tail loss measure predicts …

information set for the estimation of the empirical pricing kernel and, more in general, for the validity of the fundamental … theorems of asset pricing. While inferring the risk-neutral measure from options data provides a naturally forward- looking … nullsets thus distorting the investor's risk premium. It follows that the relative empirical pricing kernel is no longer a true …

We provide evidence of a strong effect of the underlying stock's illiquidity on option prices by showing that the … translates into significant excess returns of option trading strategies that are not explained by common risk factors. Simulation … chosen illiquidity measure, the measure of option expensiveness, and the return period. …