Internet Appendix for “The Joint Cross Section of （u201C联合截面互联网附录）.pdfVIP

Internet Appendix for * “The Joint Cross Section of Stocks and Options ” To save space in the paper, additional results are reported and discussed in this Internet Appendix. Section I investigates whether our results change when we use implied volatilities from actual options instead of interpolated values from the Volatility Surface. Section II tests whether our results from the changes in call and put implied volatilities are robust to measuring innovations in percentage terms rather than using level differences. Section III presents results from the standardized at-the-money options with maturities of 91 days. Sections IV and V report results after controlling for the physical measure of systematic skewness (coskewness) and the probability of information-based trading (PIN). Section VI replicates our main findings using alternative measures of volatility innovations. Section VII presents results from the bivariate portfolios of ΔCVOL and ΔPVOL based on independent sorts. Section VIII investigates whether our results remain intact after controlling for momentum and short-term reversal based on the bivariate portfolios and factor analyses. Section IX tests whether our results remain intact after eliminating small, low-priced, and illiquid stocks. Section X replicates our main findings after eliminating the 1st and 99th percentiles of ΔCVOL and ΔPVOL (i.e., outlier observations). Section XI shows that the predictability from using ΔCVOL and ΔPVOL is robust to different sample periods. Section XII presents results from pooled panel regressions. Section XIII investigates whether including the call-put volatil