Replication Data for: Common Factors in Equity Option Returns

Alex Horenstein; Aurelio Vasquez; Xiao Xiao

doi:10.7910/dvn/ckusdv

Back

Dataset

Replication Data for: Common Factors in Equity Option Returns

Alex Horenstein, Aurelio Vasquez and Xiao Xiao

Harvard Dataverse

2025

DOI: https://doi.org/10.7910/dvn/ckusdv

Abstract

Business and Management

Cross-Section of Option Returns, PCA, Factor Model

FOS: Economics and business

Social Sciences

The following package contains programs and data to replicate the figures and tables in Common Factors in Equity Option Returns by Alex Horenstein, Aurelio Vasquez, and Xiao Xiao (forthcoming at the Review of Financial Studies).

Files and links (1)

url

https://doi.org/10.7910/dvn/ckusdvView

Open

Metrics

1 Record Views

Details

Title: Replication Data for: Common Factors in Equity Option Returns
Creators: Alex Horenstein - University of Miami
Aurelio Vasquez - ITAM School of Business
Xiao Xiao - University of Cambridge
Publisher: Harvard Dataverse
Academic Unit: Miami Herbert Business School; MHBS - Economics
Language: English
Resource Type: Dataset
Record Identifier: 991032797100702976