Common Factors in Equity Option Returns

The authors thank Markus Pelger, Christopher Jones, Kris Jacobs, Raymond Kan, Jason Wei (discussant), Mobina Shafaati (discussant) and audiences at Cornell University, University of Toronto, McGill University, HEC Montreal, Wilfrid Laurier University, University of Sydney, Tilburg University, Northern Finance Association, Eastern Finance Association, Midwest Finance Association, North American Summer Meeting of the Econometric Society, Society for Financial Econometrics, Cancun Derivatives Conference 2023, and International Finance and Banking Society meeting for their helpful comments and suggestions. The authors also thank Markus Pelger for sharing his codes. Aurelio Vasquez thanks the Asociacion Mexicana de Cultura A.C. for financial support. We gratefully acknowledge financial support from the Canadian Derivatives Institute (CDI). Supplementary material can be found on The Review of Financial Studies website.