Lancaster University Management School Working Paper 2004/050 An Empirical Investigation of UK Option Returns: Overpricing and the Role of Higher Systematic Moments Shackleton, Mark and O'Brien, Fergal The Department of Accounting and Finance Lancaster University Management School Lancaster LA1 4YX UK ©Shackleton, Mark and O'Brien, Fergal All rights reserved. Short sections of text, not to exceed two paragraphs, may be quoted without explicit permission, provided that full acknowledgement is given. The LUMS Working Papers series can be accessed at http://www.lums.co.uk/publications/ LUMS home page: http://www.lums.lancs.ac.uk/