We utilize Bayesian model averaging to estimate a stochastic discount factor (SDF) for single-stock options. A Bayesian model averaging SDF outperforms reduced-form benchmark models in-sample and out-of-sample in pricing option return anomalies and portfolios. We document that the SDF is dense...

This paper investigates how investors' abnormal attention affects the cross-section of cryptocurrency returns in the period from 2018 to 2022. We capture abnormal attention using the (log) number of Twitter posts on individual cryptocurrencies on the current day minus a 30-day average. Our...