Paper Title
The Joint Information in Option Price and Volume for Future Stock Returns

Abstract
The joint information in option price and volume has significant cross-sectional predictive power for future stocks returns. We find that the predictability of stock returns documented in the literatures is significantly more pronounced when exploiting information from both price-based and volume-based measures. Moreover, we propose an optimal long-short portfolio trading strategy and find that this investment strategy is overwhelmingly profitable. This cross-sectional predictability is robust to a variety of price-based measures and is persistent for at least 7 months.