slope of option implied volatility smile. This implies a negative predictive relation between the slope of implied … volatility smile and stock return, which is strongly supported by the empirical evidence. For over 4,000 stocks ranked by slope … for stock characteristics like size, book-to-market, leverage, volatility, skewness, and volume. Furthermore, the results …

the emergence of traded options. We compare idiosyncratic momentum returns with traditional momentum returns over … different holding periods and over difference in traded options. Our results show that idiosyncratic momentum returns for stocks … with options are positive for three, six, and twelve months following the formation date, while traditional momentum …