Straddles on individual stocks generally earn significantly negative returns. However, average at the money straddles from three days before an earnings announcement to the announcement date yield a highly significant 3.34% return. The positive returns on straddles indicate that investors...

With thousands of co-existing and competing platforms, the Chinese peer-to-peer (P2P) lending market experienced both high growth and high failure rate. We hand collect unique data for these P2P platforms and investigate the differences in performance and survival for platforms with and without...

We construct a long daily panel of short sales using proprietary NYSE order data. During 2000-2004, shorting accounts for more than 12.9% of NYSE volume, suggesting that short-sale constraints are not widespread. As a group, these short sellers are quite well-informed. Heavily shorted stocks...

Hansen and Jagannathan (1997) have developed two measures of pricing errors for asset-pricing models: the maximum pricing error in all static portfolios of the test assets and the maximum pricing error in all contingent claims of the assets. In this paper, we develop simulation-based Bayesian...

The shape of the volatility smirk has significant cross-sectional predictive power for future equity returns. Stocks exhibiting the steepest smirks in their traded options underperform stocks with the least pronounced volatility smirks in their options by around 10.9% per year on a risk-adjusted...

We develop a systematic approach for evaluating asset pricing models based on the second Hansen-Jagannathan distance (HJD), which requires a good asset pricing model to not only have small pricing errors but also be arbitrage free. Our approach includes a specification test and a sequence of...

Using a large sample of hedge fund manager characteristics, we provide one of the first comprehensive studies on the impact of manager characteristics, such as education and career concern, on hedge fund performances. We document differential ability among hedge fund managers in generating...

Using a large sample of hedge fund manager characteristics, we provide one of the first comprehensive studies on the impact of manager characteristics, such as education and career concern, on hedge fund performances. We document differential ability among hedge fund managers in generating...

The Northeast Asian region includes the major players China, Japan, and Korea, with productive linkages to resource-rich Russia and to the United States and is one of the most dynamic economic regions in the world. In contrast to the region's robust economic growth, regional security has long...