We study the predictive power of option-implied moment risk premia embedded in theconventional variance risk premium. We find that while the second moment risk premiumpredicts market returns in short horizons with positive coefficients, the third (fourth)moment risk premium predicts market...

In the data, out-of-the-money (OTM) S&P 500 call and put options both have puzzling low average returns. Existing studies relate these results to models with non-standard preferences. We argue that the low returns on OTM index options are primarily due to the pricing of market volatility risk....

Theory says an American call should never be exercised early, except possibly just before an ex-dividend date. But the best market bid is frequently below intrinsic value for an in-the-money short maturity option. An American option can always be exercised to recover intrinsic value, while...

We explore the stock market and option implied volatility response of the oil and gas industry to four policy events associated with the Paris Agreement and the election of Donald Trump. Our results show that the signing of the Paris Agreement had a large negative impact for the Oil and Gas...

Our study is the first to combine returns based and characteristics based style analysis into a single style analysis model. We use Best Fit Indices to establish the ‘investment domains' of our sample managers, along the lines of size and ‘style,' and then use our multidimensional...

In this study we consider two methods of returns based style analysis for classification of investment styles for a single asset class, US Diversified Equity Funds. We extend Sharpe's (1992) style Returns Based Style Analysis (RBSA) by forming style groups using cluster analysis and RBSA...

In this study, I investigate the performance of five categories of U.S. domestic equity mutual funds during the recessions of 1990 and 2001 and during the 12 months following each recession. I show that recessions identified by the National Bureau of Economic Research (NBER) are not all the same...