We examine whether time variation in the comovements of daily stock and Treasury bond returns can be linked to measures of stock market certainty, specifically the implied volatility from equity index options and detrended stock turnover. From a forward-looking perspective, we find a negative...

We examine whether time variation in the comovements of daily stock and Treasury bond returns can be linked to measures of stock market uncertainty, specifically the implied volatility from equity index options and detrended stock turnover. From a forward-looking perspective, we find a negative...

We report international, style, and subperiod evidence for the other January effect (OJE) documented in Cooper et al. [2006. The other January effect. Journal of Financial Economics 82, 315-341]. When examining the OJE in 22 countries starting as early as 1801, we find that the spread between...

We find that the market’s recent cross-sectional dispersion in stock returns is positively related to the subsequent value book-to-market premium and negatively related to the subsequent momentum premium. The partial relation between return dispersion (RD) and the subsequent value and momentum...

For S&P 100 stocks, we find that the weekly returns over option-expiration (OE) weeks (a month’s third-Friday week) tend to be high, relative to: (1) the third-Friday weekly returns of other stocks with less option activity, (2) the own stock’s other weekly returns, (3) the risk, based on...