In this paper, I review hedge fund risk using various commonly used measures including market betas, correlations, and porfolio drawdowns. We see a picture emerge that shows hedge funds have historically hedged a fair degree of systematic market risk, especially in the early years, offering...

We examine the pricing of volatility risk in the cross-section of equity Real Estate Investment Trust (REIT) stock returns over the 1996 – 2010 period. We consider both aggregate (systematic) volatility and firm-specific (idiosyncratic) volatility. In contrast to the negative and significant...

These days it's become convention (reinforced by the media's treatment of wealth) to assess our net worth by tallying up the market value of our financial assets, even though it's more natural and useful to think of our wealth as a stream of dollars over time given the nature of our income and...

Presentation Slides for "Overconfidence, Arbitrage, and Equilibrium Asset Pricing" This paper offers a model in which asset prices reflect both covariance risk and misperceptions of firmsapos prospects, and in which arbitrageurs trade against mispricing. In equilibrium, expected returns are...

There is a growing empirical literature on gold's safe haven status with respect to financial risks but no study with respect to global geopolitical risks. This paper extends the common focus on extreme stock market movements and financial turmoil with an analysis of geopolitical risk. We find...

In this Preface, we offer some analysis of the 2008-2009 financial crisis and its implications for financial industry reform and research. We primarily focus on issues relating to transparency and the measurement of risk and how these are affected by management incentives that are often...

In this paper, I study individual currency pairs and examine the behavior of the cross section of their carry returns with the USD. Developed and emerging market carry trades yield high Sharpe ratios even after adjusting for transaction costs. I show that carry trade risks carry trade risks are...

We revisit the role of liquidity risk. We successfully replicate Pastor and Stambaugh's (2003) gamma liquidity risk index and, within their time period, concur with their risk premium estimate. An out-of-their-time-period analysis finds post-time-period returns that are higher and...

We propose a new, price-based measure of information risk called abnormal idiosyncratic volatility (AIV) that captures information asymmetry faced by uninformed investors. AIV is the idiosyncratic volatility prior to information events in excess of normal levels. Using earnings announcements as...

We investigate the effect of including variance derivatives as calibration and hedging instruments for pricing and hedging exotic structures. This is studied empirically using market data for SPX and VIX derivatives applied in a stochastic volatility jump diffusion model