We study the relationship between gender diversity on boards and corporate social irresponsibility (CSI). We hypothesize a bi-directional causality. Firms exposed to CSI incidents are likely to increase their board gender diversity for reputational purposes. At the same time, board gender...

This paper investigates the information content of aggregate hedge fund flow and its predictive power with respect to bond yields. Using a sample of 9,725 hedge funds from 1994 to 2012, we find that fund flow is negatively related to the changes in 10-year Treasury and Moody's Baa bond yields...

We study the effect of an asset's volatility on the expected returns of European options written on the asset. A simple stochastic discount factor model suggests that the effect differs depending on whether variations in volatility are due to variations in systematic or idiosyncratic volatility....

In this paper, we exploit the divergence of the implied hazard rates derived from Deep Out-of-the-Money Put Options (DOOM) and Credit Default Swaps (CDS) in producing profitable trading strategies. We extend the work in Carr and Wu (2010) by decomposing the implied hazard rates into credit and...