Using firm-level option and stock data, we examine the predictive ability of option-implied volatility measures proposed by previous studies and recommend the best measure using up-to-date data. Portfolio level analysis implies significant non-zero risk-adjusted returns on arbitrage portfolios...

We examine contemporaneous jumps (cojumps) among individual stocks and a proxy for the market portfolio. We show, through a Monte Carlo study, that using intraday jump tests and a coexceedance criterion to detect cojumps has a power similar to the cojump test proposed by Bollerslev et al....

This study uncovers a unique dividend-tax arbitrage strategy that provides high-bracket investors the opportunity to circumvent taxation on dividend income. As the first comprehensive analysis, we examine diverse investor types, implementation techniques, and implications on stock prices....