The thesis studies index and equity option returns in perfect and imperfect markets to explain parts of the option mispricing puzzle. Perfect markets exist under informational efficiency, market completeness and frictionless trading. The thesis shows that an option-implied risk-adjusted approach...

We provide evidence of a strong effect of the underlying stock’s illiquidity on option returns. By conditioning on end user demand, we find that the corresponding illiquidity premiums are negative and decrease in stock illiquidity if there is net buying pressure, while premiums are positive...

We provide evidence of a strong effect of the underlying stock's illiquidity on option prices by showing that the average absolute difference between historical and implied volatility increases with stock illiquidity. This pattern translates into significant excess returns of option trading...

In equity option markets, traders face margin requirements both for the options themselves and for hedging-related positions in the underlying stock market. We show that these requirements carry a significant margin premium in the cross-section of equity option returns. The sign of the margin...

Why do investors entrust active mutual fund managers with large sums of money while receiving negative excess returns on average? Our explanation is that investors have a coarser information set than fund managers which leads them to systematically misinterpret managers' skill. When investors...

Rationale Anleger sind im Allgemeinen risikoavers. Eine wichtige Implikation dieser Risikoaversion ist, dass Anleger für bestimmte Risiken, die sie eingehen, eine Kompensation verlangen – Risikoprämien. Ein Beispiel für solche Risikoprämien sind Momentenrisikoprämien. Sie sind definiert...

This paper re-examines two volatility-related patterns in the cross-section of stock option returns: the low-volatility effect and the expensiveness effect. Intermediary asset pricing theory suggests specific linkages between these effects. As our empirical results show, the low-volatility...

This paper compares several investment strategies designed to exploit the low-beta anomaly. Although the notion of buying low-beta stocks and selling high-beta stocks is natural, a choice is necessary with respect to the relative weighting of high-beta stocks and low-beta stocks in the...