This study quantifies performance measure distortions in a cryptocurrency sample truncated by survivorship and delisting bias. Previous research shows that the attrition rate in cryptocurrency markets is high. However, the survivorship and delisting bias in cryptocurrencies lacks empirical...

In this study, we investigate the cross-section of option implied tail risks in commodity markets. In contrast to findings from equity markets, left and right tail risk implied by option markets are both large. Commodity specific variables exert the largest influence on tail risk, while there is...

We argue that the value factor's strong relation to the investment factor, being responsible for the value factor's documented redundancy, arises because book-to-market and investment are both driven by cash flow and discount rate shocks. Our results are consistent with this thesis: only market...

This book presents new approaches to valuing derivative securities with credit risk, focussing on options and forward contracts subject to counterparty default risk, but also treating options on credit-risky bonds and credit derivatives. The text provides detailed descriptions of the...

A simple manipulation of the dividend discount model establishes that firms' book-to-market, profitability, and investment are related to their expected returns. This insight motivates the value, profitability, and investment factors in the Fama-French (2015) five-factor model. Yet, variation in...