Investor Attention and Option Returns

For useful comments and suggestions, the authors thank Ing-Haw Cheng, Tarik Driouchi, Kong Ling Fei, Bing Han, Tse-Chun Lin, Diefeng (Stephen) Peng, Mark Seasholes, Michael Ungeheuer, Baolian Wang, Xuewu (Wesley) Wang, Yan Xu, Qunzi Zhang, and participants at the annual meeting of the Financial Management Association and the Northern Finance Association. They also thank department editors Haoxiang Zhu and Lukas Schmid, an associate editor, and two anonymous referees for their helpful guidance and support.