The stylized fact that volatility is not priced in individual equity options does not withstand scrutiny. We show, first, that the average return of heavily traded deep out-of-the-money call options on stocks is -116 basis points per day. Second, Fama- MacBeth estimates of the volatility risk...

This paper develops a new method to calculate hedged returns on model-free “equity VIX” option portfolios. Our returns are highly correlated with realized variance minus implied variance. Compared to CBOE’s VIX formula, our formulas are more accurate for both simulated and actual prices,...

This paper investigates the performance of option investments across different stocks by computing monthly returns on at-the-money straddles on individual equities. It finds that options with high historical returns continue to significantly outperform options with low historical returns over...

We propose that differences between overnight and daytime returns are the result of return extrapolation. After high daytime returns, morning order imbalances are high in the first 15 minutes of regular trading the next day, which is consistent with higher overnight returns. The effect is...

Following high-profile United Nations climate summits in Glasgow and Paris, sub-national regions and cities are increasingly seeking to set climate targets and policies in line with the Paris Agreement's goals. Downscaled carbon budgets are a useful framework for setting local mitigation targets...

Nitrous oxide (N2 O) emissions from arable soils are predominantly caused by denitrifying microbes, of which fungal denitrifiers are of particular interest as fungi, in contrast to bacteria, terminate denitrification with N2 O. Reduced tillage has been shown to increase gaseous nitrogen losses...