Do Option Characteristics Predict the Underlying Stock Returns in the Cross-Section?

The authors thank Sanjiv Das, Phil Dybvig, Steve Heston, Theis Ingerslev Jensen, Gustavo Schwenkler, Christian Wagner, and seminar participants at Chinese University of Hong Kong—Shenzhen, Dongbei University of Finance and Economics, Jinan University, University of Liverpool, Santa Clara University, Syracuse University, Washington University in St. Louis, Wirtschaftsuniversität Wien, the 2023 American Finance Association Meetings, the 2021 Frontiers of Factor Investing Conference, and the Vienna Workshop on Econometrics of Option Markets. The authors are especially grateful to the Editor (Lin William Cong), the Associate Editor, and the referee for excellent comments that significantly improved the paper. The views expressed here are those of the authors and not necessarily any of the affiliated institutions.