In this paper, we use event studies to estimate the effects of changes to a public firm's board of trustees on stock returns. The goal is to determine whether the gender of an incoming board member is perceived differently by investors. Scholarly findings on gender and leadership have been mixed...

In this paper, I construct an optimal portfolio by minimizing the expected tail loss (ETL) derived from the forward-looking natural distribution of the Recovery Theorem (RT). The RT is one of the first successful attempts at deriving an unparameterized natural distribution of future asset...

Finance researchers keep producing increasingly complex and computationally-intensive models of stock returns. Separately, professional analysts forecast stock returns daily for their clients. Are the sophisticated methods of researchers achieving better forecasts or are we better off relying on...

This paper shows that expected uncertainty should be included as a key determinant in the derivation of the natural probability distribution of assets because it contains information that goes beyond information contained in state prices. I redefine the contingent state prices derived in the...

In this paper, I argue that we can use consumer and investor perceptions to forecast short-term fluctuations in asset prices. Using tweets scraped from Twitter between 2009 and 2019, I perform textual analysis to construct daily sentiment indices. While other scholars have relied on third-party...

I introduce a model to estimate the risk-neutral density. Current estimation techniques use a single mathematical model to interpolate option prices on two option dimensions: strike price and time-to maturity (TTM). I propose to use B-splines with at-the-money knots for the strike price...