Frazzini and Pedersen (2014) document that a betting against beta strategy that takes long positions in low-beta stocks and short positions in high-beta stocks generates a large abnormal return of 6.6% per year and they attribute this phenomenon to funding liquidity risk. We demonstrate that...

Short option positions carry significant risk of losses well in excess of 100% of the initial option price. Margin requirements associated with such positions are therefore considerable. I develop a methodology for calculating margin requirement-based short option portfolio returns. Accounting...

Using several multi-factor models, I find strong "betting against beta'' effects - flat relations between betas and expected returns - for most non-market factors in US and international stock markets. "Arbitrage portfolios'' designed to profit from these effects earn average returns similar to...