This paper examines derivatives use of foreign exchange, interest rate and commodities risk by non-financial firms across multiple industries, using data from 1995 to 2001. This paper considers the interaction of a firm's risk exposures, derivatives use, and real operations simultaneously, and...

This paper investigates the risk versus mispricing explanation of superior returns to contrarian strategies using the interactions between value-to-market indicators and corporate financing transactions that increase or decrease a firm's outstanding equity. Portfolio-level analyses and...

Stocks with large increases in call implied volatilities over the previous month tend to have high future returns while stocks with large increases in put implied volatilities over the previous month tend to have low future returns. Sorting stocks ranked into decile portfolios by past call...

Drawing upon more than 12 million observations over the period from 1996 to 2020, we find that allowing for nonlinearities significantly increases the out-of-sample performance of option and stock characteristics in predicting future option returns. Besides statistical significance, the...

This paper provides a time-series and cross-sectional investigation of the conditional and unconditional capital asset pricing model (CAPM). The unconditional CAPM fails, but the conditional CAPM with dynamic conditional correlations (DCC) succeeds in generating a significantly positive...

This paper examines the intertemporal relation between expected return and risk for 30 stocks in the Dow Jones Industrial Average. The mean-reverting dynamic conditional correlation model of Engle (2002) is used to estimate a stock's conditional covariance with the market and test whether the...