We argue that long-horizon return reversals [Debondt and Thaler (1985)] reflect a premium for downside risk. Consistent with this, we find that downside betas of past losers are significantly greater than downside betas of past winners, and the inclusion of downside beta in Fama-Macbeth...

When stock prices deviate from their fundamental values due to excess demand, investors anticipate reversals and trade in the options market to exploit the temporary misvaluation. This leads to options’ predictability of stock returns beyond the well-known informed trading channel. Using S&P...

Hedged mutual funds proliferated following the 2007-2009 financial crisis. They became particularly popular with financial advisors because of their alleged downside protection. Did these funds deliver what they promised? We examine the performance of these funds with a focus on the post-2009...

This paper examines the effect of value-added tax (VAT) rates on tax evasion in a setting with limited tax-shifting. I find that a large, unexpected reduction on the VAT rate of non- alcoholic restaurant sales, from 23% to 13%, implemented in Greece in August 2013, significantly increased...

We study the corporate-loan pricing decisions of a major Greek bank during the Greek financial crisis. A unique aspect of our dataset is that we observe both the interest rate and the ``breakeven rate'' of each loan, as computed by the bank's own loan-pricing department (in effect, the loan's...