We establish a direct link between sophisticated investors in the option market, private stock market investors, and the idiosyncratic volatility (IVol) puzzle. To do so, we employ three option-based volatility spreads and attention data from Google Trends. In line with the IVol puzzle, the volatility spreads indicate that sophisticated investors indeed consider high-IVol stocks as being overvalued. Moreover, the option measures help to distinguish overpriced from fairly priced high-IVol stocks. Thus, these measures are able to predict the IVol puzzle’s magnitude in the cross-section of stock returns. Further, we link the origin of the IVol puzzle to the trading activity of irrational private investors as the return predictability only exists among stocks that receive a high level of private investor attention. Overall, our joint examination of option and stock markets sheds light on the behavior of different investor groups and their contribution to the IVol puzzle. Thereby, our analyses support the intuitive idea that noise trading leads to mispricing, which is identified by sophisticated investors and exploited in the option market.

我们在期权市场的成熟投资者、私人股票市场投资者和特殊波动率 (IVol) 难题之间建立了直接联系。为此，我们采用了三种基于期权的波动性价差和来自谷歌趋势的关注数据。与 IVol 之谜一致，波动率利差表明成熟的投资者确实认为高 IVol 股票被高估了。此外，期权指标有助于区分定价过高的高 IVol 股票和定价合理的高 IVol 股票。因此，这些措施能够预测 IVol 难题在股票回报横截面中的大小。此外，我们将 IVol 谜题的起源与非理性私人投资者的交易活动联系起来，因为回报可预测性只存在于受到私人投资者高度关注的股票中。总体而言，我们对期权和股票市场的联合研究揭示了不同投资者群体的行为及其对 IVol 难题的贡献。因此，我们的分析支持了这样一个直观的想法：噪音交易会导致错误定价，这一点被经验丰富的投资者所识别并在期权市场中被利用。