A number of papers document a strong negative relation between idiosyncratic volatility and risk-adjusted stock returns. Using IHS Markit data on indicative borrowing fees, we show that stocks with high idiosyncratic volatility are far more likely to be hard-to-borrow than stocks with low...

We study the determinants of options illiquidity measured with relative bid-ask spreads of intraday transactions for S&P 500 firms over an extended time period. We find that market makers' hedging costs significantly impact options illiquidity with the future rebalancing cost dominating the...

Which market has leading informational advantage: stocks or options? Using large set of stock and option characteristics, and machine learning, we provide a comprehensive analysis of which characteristics are the first order importance predictors of options and stock returns. First, we find that...

This paper links the illiquidity of US Treasuries to funding liquidity and shows that dealers' financial constraints tighten after a positive shock to Treasury illiquidity. Consistent with the empirical properties of funding liquidity, illiquidity of Treasuries predicts changes in the TED spread...

Delta-hedged option and straddle returns on S&P500 Index and equity options computed using end-of-day closing prices are always higher compared to those based on any other price of the day. The difference between these returns can easily reach more than 100 bps per day. Price pressures combined...