We show that option-implied jump tail risk estimated prior to earnings announcements strongly predicts post …-earnings risk-adjusted abnormal stock returns. The predictive power of implied jump tail risk is particularly strong on extreme … for model-free implied moments of variance, skewness and kurtosis. We argue that the tail risk implied from options …

for various risk-factors. We also find that in addition to all strategies performing better during periods of significant …

, albeit at much more modest levels. Specifically, we document a risk-adjusted return of about 30 basis points (bps) per month … the top 30% largest stocks produce an average alpha of 24 bps per month. Pairs trading exhibits a lower risk and lower …

This article examines the Capital Asset Pricing Model (CAPM) over different frequencies utilizing a recently developed … multiscaling method: wavelet analysis. Our empirical analysis shows that the risk factors are more relevant at the lower … frequencies than at the higher frequencies in the traditional CAPM. In addition, the overreaction-related mispricing hypothesis …