We develop a novel real-time metric of macroeconomic surprises across hundreds of macroeconomic series. Economic surprises display sizable short-term autocorrelation, driven by predictable errors in consensus forecasts. The resulting 'economic surprise momentum' is present across all major...

Non-standard errors capture uncertainty due to variation in research design choices. We study the importance of differential design choices in constructing asset pricing factors. By purposely data mining over 250 different versions of each factor, we find that Sharpe ratios exhibit substantial...

Stocks with high net gamma exposure robustly underperform stocks with low net gamma exposure by 10% per year. This effect is distinct from multiple previously documented return predictors, and survives many robustness checks. We show that stocks with low net gamma exposure negatively predicts...