We provide the first comprehensive analysis of option information for pricing the cross-section of stock returns by jointly examining extensive sets of firm and option characteristics. Using portfolio sorts and high-dimensional methods, we show that certain option measures have significant...

We propose a methodology for estimating option-implied forward-looking variances and covariances of assets and portfolios, which may not possess actively-traded options. Our approach relies on the observation that any factor structure for stock returns naturally induces a factor structure for...

We offer an approach for recovering option-implied time-varying forward-looking risk premia of systematic factors---even if they do not possess actively-traded options. We apply this approach to the market, size, value, and momentum factors. We find that factor premia are highly volatile. Both...