We document a positive and persistent relation between retail investor attention, as measured by Google search volume, and future realized stock return volatility. The relation implies a profitable option trading strategy of purchasing high attention delta-neutral straddles and selling low...

Conducting a Beveridge-Nelson decomposition on exchange rates reveals that the prospective interest rate differential -- the expected infinite sum of future interest rate differentials (i.e., the "prospective'') -- can help predict foreign exchange market excess returns. We find that the...

The expected returns of short maturity options are large and negative, implying a negative variance risk premium. We find that the magnitude of this negative risk premium decreases monotonically with option maturity. Specifically, the risk premium becomes insignificant for maturities beyond 6...