We provide evidence of a strong effect of the underlying stock’s illiquidity on option returns. By conditioning on end user demand, we find that the corresponding illiquidity premiums are negative and decrease in stock illiquidity if there is net buying pressure, while premiums are positive...

We analyze whether design features of cryptocurrencies affect their return volatility. We compile a sample of 58 cryptocurrencies, adopt the taxonomy of design features proposed by Eska et al. (2023), and estimate LASSO regressions. We find that older cryptocurrencies tend to be less volatile...

We analyze whether the design of cryptocurrencies helps to explain the huge cross-sectional variation in the market values of cryptocurrencies. We propose a taxonomy of design features and hand-collect data on these features for a sample of 79 cryptocurrencies. Using a two-stage regression...