This paper documents that option-implied tail risk in the U.S. financial sector predicts real economic activity. The predictability is found to be incremental to the information content in a stock price-based measure of financial sector tail risk. This finding holds both in- and out-of-sample...

We investigate the use of machine learning (ML) and other robust-estimation techniques in event studies conducted on single securities for the purpose of securities litigation. Single-firm event studies are widely used in civil litigation, with billions of dollars in settlements hinging on the...

In this paper, we examine the evolution of the S&P500 returns volatility around market crashes using a Markov-Switching model. We find that volatility typically switches into the high volatility state well before a crash and remains in the high state for a considerable period of time after the...

Futures contracts on the New York Mercantile Exchange are the most liquid instruments for trading crude oil, which is the world’s most actively traded physical commodity. Under normal market conditions, traders can easily find counterparties for their trades, resulting in an efficient market...

This paper re-examines the performance of the "Dogs of the Dow" (DoD) investment strategy in a different market setting and over a different time period. In particular, we use Finnish data over the period 1988-2008 to examine whether the DoD strategy can be successfully replicated in different...

All conceivable solutions to the internal rate of return equation are shown to have meaning as well as use. Internal rates of return are the units in which value is measured and the quantities of such units. This result implies a single internal rate of return cannot be an investment criterion....

Using Merton's (1974) structural model corporate debt default, this paper argues that correlation between firm level corporate bond yield changes and stock returns should be informative about firm level default risk of this corporate debt. In particular, as the absolute value of the correlation...

This paper considers a consumption-based asset pricing model where housing is explicitly modeled both as an asset and consumption good. As consumption good, housing introduces housing expenditure share as a novel risk factor. As an asset, it is the major component of wealth with financial asset....

We use a standard consumption-based asset pricing model incorporating conditioning information to explain the risk-return profile of currency carry trade portfolios. We use a scaled stochastic discount factor instead of scaled or managed portfolio returns as in previous work. Our conditioning...

We use a standard consumption-based asset pricing model incorporating conditioning information to explain the risk-return profile of currency carry trade portfolios. We use a scaled stochastic discount factor instead of scaled or managed portfolio returns as in previous work. Our conditioning...