NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

The Joint Cross Section of Stocks and Options

Byeong-Je An, Andrew Ang, Turan G. Bali, Nusret Cakici

NBER Working Paper No. 19590
Issued in October 2013

---- Acknowledgements -----

We thank the editor, Cam Harvey, an associate editor, and three referees for their extremely helpful comments and suggestions. We thank Reena Aggarwal, Allan Eberhart, Nicolae Garleanu, Larry Glosten, Bob Hodrick, Michael Johannes, George Panayotov, Tyler Shumway, Mete Soner, David Weinbaum, Liuren Wu, Yuhang Xing, and seminar participants at the American Finance Association meetings, ETH-Zurich, Federal Reserve Bank of New York, and Georgetown University for helpful comments and discussions. Additional results are available in an internet appendix that can be obtained by contacting the authors. An and Ang thank Netspar and the Program for Financial Studies for financial support. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.

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