Do Option Characteristics Predict the Underlying Stock Returns in the Cross-Section?
系统分析了期权信息对股票横截面收益的预测能力，发现只有少数期权特征在控制公司特征后仍有显著预测力，且这些特征与错误定价、尾部风险和卖空成本相关。
We provide a comprehensive analysis of option-implied information for predicting the cross-section of stock returns. Based on large sets of firm and option characteristics and using traditional portfolio sorts and modern high-dimensional methods, we find that option information matters. However, in contrast to existing studies, there are only a few option characteristics that have significant incremental predictive power after controlling for the large set of firm characteristics. Further analysis reveals that the strongest option characteristics are associated with asset mispricing, future tail return realizations, and short-selling costs. Our findings are consistent with models of informed trading and limits to arbitrage. This paper was accepted by Lin William Cong, finance. Funding: R. T. Varneskov gratefully acknowledges financial support from the Danish Finance Institute (DFI) and the Center for Big Data in Finance [Grant DNRF167]. Supplemental Material: The online appendix and data files are available at https://doi.org/10.1287/mnsc.2024.04720 .