In the paper, we show a significant economic linkage between analyst EPS forecast skewness and cross section stock returns. The effect on stock return of our skewness measure is quite different from that based on skewness calculated from options or high frequency data. Literature shows that,...

In the paper, we find out that there is a significant relation between option trading volume and open interest distributions across various strike levels and expected stock returns. Specifically, we construct volume and open interest weighted option strike dispersions. Portfolio level analysis...