We examine the short-duration premium using pre-scheduled economic, monetary policy, and earnings announcements. We provide high-frequency evidence that duration premia associated with revisions of economic growth and interest rate expectations are consistent with asset pricing models but cannot...

In this paper, we propose a cross-sectional option momentum strategy that is based on the risk component of delta-hedged option returns. We find strong evidence of risk continuation in option returns. Specifically, options with a high risk component significantly outperform those with a low risk...

Trading in options with a wide range of exercise prices and a single maturity allows a researcher to extract the market's risk neutral probability density (RND) over the underlying price at expiration. The RND contains investors' beliefs about the true probabilities blended with their risk...

The first Global Climate Strike on March 15, 2019 has represented a historical turn in climate activism. We investigate the cross-section of European stock price reactions to this event. Looking at a large sample of European firms, we find that the unanticipated success of this event caused a...

Natural disasters such as hurricanes, floods, heatwaves and wildfires are projected to become more prevalent in the foreseeable future. Climate risk is therefore increasingly recognized as an important factor by policy makers, the investment community, and financial markets. Due to the...

By choosing investment strategies that intentionally create exposure to factor betas, investors may be obtaining uncompensated risks. We show across a wide variety of factors and geographical markets that factors constructed from fundamental characteristics have earned high returns, whereas...

This paper demonstrates that risk-based and behavioral cross-sectional asset pricing anomalies can plausibly coexist. To this end, I build a model in which risk-based value premium exists along with behavioral momentum. The value premium stems from differential exposures of stocks to rare...

During the COVID-19 pandemic all of the Fama and French (2018) factors except momentum lost money. But this is atypical – historically the value, profitability, investment and momentum factors are more profitable in bear markets. Duration explains both their COVID-19 losses and other...

This study investigates the impact of return extrapolation on risk-return trade-offs in both the aggregate time series and the cross section of stocks. We find that the relation between the market’s expected return and expected variance is positive during periods with a low degree of...

This study proposes a wavelets approach to estimating time-frequency-varying betas in the capital asset pricing model (CAPM) framework. The dynamic of systematic risk across time and frequency is analyzed to investigate stock risk-profile robustness. Furthermore, we emphasize the effect of an...