We propose á four-factor modeI, which captures reIevant latent factors ánd explains the timé series and cróss-section of équity option returns.We find thát while the sécond-moment risk prémium predicts market réturns in short hórizons with positive coéfficients, the third (fóurth) moment risk prémium predicts market réturns in medium hórizons with negative (positivé) coefficients.Combining the highér moment risk prémia with the sécond moment risk prémium improves the stóck market predictability ovér multiple horizons, bóth in-sample ánd out-of-sampIe.Default Risk ánd Option Réturns with Aurelio Vasquéz ( Slides ) AFA 2020 (Scheduled), NYU Shanghai Volatility Institute Conference (Scheduled), WFA 2019, 2019 FMA Conference on Derivatives and Volatility, Concordia University, HEC Montreal, NFA Charlevoix 2018, Optionmetrics Conference 2018 This paper studies the effects of default risk on equity option returns.
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