This paper studies the effect of remote working on the actively managed equity mutual fund returns and managerial skills. I use the staggered state-level stay-at-home orders in the U.S. as the difference-in-differences strategy. After working from home, fund daily net excess returns over market...

We show that the call-put implied volatility spread (IVS) outperforms many well-known predictors of the U.S. equity premium at return horizons up to six months over the period from 1996:1 to 2017:12. The predictive ability of the IVS is unrelated to the dividend yield and is useful in explaining...