This paper examines the relationship between cultural attitudes towards gambling and investor preferences for skewness across 45 countries. Our results show that countries with higher gambling losses per adult, countries with legalized online gambling, and countries with the most Catholics...

Covered call buy-write strategies have risk-return profiles that are similar to those of low volatility equity portfolios, and both approaches appear to extract return premium from investors with leverage constraints and a preference for lottery-like bets. We analyzed simulated long-term...

Covered call buy–write strategies have risk–return profiles that are similar to those of low volatility equity portfolios, and both approaches appear to extract return premium from investors with leverage constraints and a preference for lottery-like bets. We analyzed simulated long-term...

This paper produces endogenous equity market non-participation in an economy with uninsurable labor income risk and heterogeneous skill levels. Prudence and impatience generate stationary household wealth levels that depend on income. Skill, and therefore labor income, heterogeneity leads to...

The assumption that asset prices are determined by the efforts of end investors to maximize inter-temporal utility supports a pricing theory that is both elegant and intuitive. Unfortunately, the assumption is counterfactual. End investors, with few exceptions, lack the capacity to behave in a...

In this study, the authors examine the hypothetical performance of various low volatility strategies in historical U.S., global developed, and emerging markets. The strategies we replicated outperformed cap-weighted market indices due to exposure to the value, BAB (betting against beta), and...

The risks embedded in asset-based risk parity portfolios are explored using a simple, economically motivated approach. Such an approach can go a long way toward demystifying and making more explicit the drivers of performance and risks of asset-based risk parity portfolios. Investors in risk...