We offer evidence that exposures to consumption growth, expected consumption growth, and consumption volatility are significantly priced in the cross-section of delta-hedged option and straddle returns. Consumption growth and expected consumption growth command a positive risk premium, whereas...

We document a positive and persistent relation between retail investor attention, as measured by Google search volume, and future realized stock return volatility. The relation implies a profitable option trading strategy of purchasing high attention delta-neutral straddles and selling low...

We investigate the relation between contrarian flows, consumption growth and market risk premium. We construct a contrarian flows measure by summing up the capital flows to stocks that go against the total flow of the aggregate market. We show that the contrarian flows are negatively influenced...

We investigate the effects of government oversight, such as the Federal Reserve, on trading based on material non-public information by examining the impact of regulatory supervision at the firm level. We categorize firms in financial services, pharmaceuticals, and utilities as supervised....

Conducting a Beveridge-Nelson decomposition on exchange rates reveals that the prospective interest rate differential -- the expected infinite sum of future interest rate differentials (i.e., the "prospective'') -- can help predict foreign exchange market excess returns. We find that the...

A substantive body of equity-market academic research documents an extensive range of costs arising from the SEC's October 2000 adoption of strictures on selective disclosure and insider trading; suggesting an unusual outcome, specifically, an increase in informed trading. We investigate the...

The expected returns of short maturity options are large and negative, implying a negative variance risk premium. We find that the magnitude of this negative risk premium decreases monotonically with option maturity. Specifically, the risk premium becomes insignificant for maturities beyond 6...

We investigate the information content of the call (put) Early Exercise Premium, or EEP, defined as the normalized difference in prices between otherwise comparable American and European call (put) options. The call EEP specifically captures investors' expectations about future lump sum dividend...

We investigate the relation between contrarian flows, consumption growth, and market risk premium. We construct a contrarian flows measure by summing up the capital flows to stocks that go against the total flow of the aggregate market. We show that the contrarian flows are negatively influenced...