Using a unique dataset from the Chinese stock market that keeps track of daily number of shareholders, we find that ownership breadth (proxied by number of shareholders) is negatively related to stock price volatility. However, consistent with the previous literature on volatility-volume...

If the implied volatility is higher than the realized volatility, OTM call returns can be negative and decrease in strike prices/skewness, a return pattern also consistent with skewness preference. Empirically, we find the above return pattern is not driven by investors purchasing OTM calls, but...