We discover three significant periodicities in the autocorrelation of intraday stock returns. We demonstrate that (i) the autocorrelation is 64% more negative during afternoons than during mornings, (ii) the autocorrelation is more negative Tuesdays through Fridays than on Mondays, (iii) overall...

An option contract is a zero-sum game, so two identical risk-averse investors would never take opposite sides of it. While they will agree on the correct option price, they would never trade with each other. Heterogeneity is essential for options trading to exist, and aggregating diverse...

We study the relationship between stock returns and the implied volatility smile slope of call and put options. Stocks with a steeper put slope earn lower future returns, while stocks with a steeper call slope earn higher future returns. Using dispersion of opinion as a proxy for belief...