Based on the publicly available information on the data sources and methodology used by the Census Bureau to estimate e-commerce and physical retail sales, and based on detailed e-mail communications with the Census official responsible for the retail trade data, we found, in a version of this...

This is the first study on the risk-neutral distribution of option returns. We derive solutions for the risk-neutral variance, skewness, and kurtosis of call and put option returns and document several properties of these ex-ante moments. We find that the volatility, skewness, and kurtosis of...

Motivated by the nature of asset pricing models, we investigate the cross-sectional relation between the market's ex-ante view of a stock's risk and the stock's ex-ante expected return. We demonstrate that an ex-ante measure of expected returns based on analyst price targets is highly related to...

We develop an ex-ante measure of expected stock returns based on analyst price targets. We then show that ex-ante measures of volatility, skewness, and kurtosis implied from stock option prices are positively related to the cross section of ex-ante expected stock returns. While expected returns...

We test the efficient market hypothesis by using machine learning to forecast future stock returns from historical performance. These forecasts strongly predict the cross section of future stock returns. The predictive power holds in most subperiods, is strong among the largest 500 stocks, and...

Pundits have been predicting the death of cash for as long as the plastic card has been in existence – more than 60 years. This perception has been intensified of late by the rapid acceleration in payments innovation, driven in large part by the mobile phone, in both developed and developing...

This paper focuses on the value of consumer payments made with cash, which we refer to as “total cash spending”, and the share of total spending that is made with cash, which we refer to as the “cash-spending share”. We provide estimates of these measures of cash use for 2000-2011 and...

Using a measure of ex-ante expected returns based on analyst price targets, we find strong evidence that investors price both systematic (beta and co-skewness) and non-systematic (idiosyncratic volatility) risk when determining the appropriate rate of return on a security. We demonstrate that...

Short option positions carry significant risk of losses well in excess of 100% of the initial option price. Margin requirements associated with such positions are therefore considerable. I develop a methodology for calculating margin requirement-based short option portfolio returns. Accounting...