Default Risk and Option Returns

The authors thank Christian Dorion, Stephen Figlewski, Kris Jacobs, Nikunj Kapadia, Hugues Langlois, Matthew Linn, Scott Murray (Western Finance Association 2019 discussant), Neil Pearson, Alessio Saretto (American Finance Association 2020 discussant), Christian Wagner, and Guofu Zhou for helpful discussions and comments. The authors also thank seminar participants at the AFA 2020, WFA 2019, Northern Finance Association Charlevoix 2018, OptionMetrics Conference 2018, Eastern Finance Association Jacksonville 2017, Financial Management Association (FMA) Latin America 2017, ITAM Finance Conference 2017, Midwest Finance Association Atlanta 2016, China International Conference in Finance 2016, FMA doctoral consortium 2015, University of Massachusetts, Erasmus University Rotterdam, Tsinghua University, Renmin University, Central University of Finance and Economics, Hong Kong Polytechnic University, Utrecht University, Universidad de Chile, Southern Denmark University, and Wilfrid Laurier University for helpful comments.