We contribute to the debate on whether institutional investors have an information advantage in a novel way – by investigating institutional options holdings. We find that net institutional option holdings predict both future abnormal stock returns and earnings surprises, particularly for...

This paper estimates dynamic factors from the term structure of credit spreads and the term structure of equity option implied volatilities, and it provides a comprehensive characterization of the dynamic relationships among those credit spread factors and equity volatility factors. The paper...

We show how to construct uniform pricing frameworks for various insurance products that have prespecified deductibles. It is shown that the deductible insurance policies' indemnity payoff functions resemble those of distinctive derivative securities; therefore, the actuarially fair premia can be...