Hedge fund managers are largely free to pursue dynamic trading strategies and standard linear regression is no longer accurate for measuring hedge fund abnormal return (alpha) and risk exposure (beta). Accordingly, this paper presents a dynamic linear model to capture hedge fund dynamics. By...

This paper documents a negative relationship between options trading volume and stock returns. The relationship is remarkably robust and cannot be explained by existing asset-pricing theorems. We find that strategies that require buying stocks with low options trading volume in the past and...

This study investigates the determinants of trading activity in the U.S. corporate bond market, focusing on the effects of Seasonal Affective Disorder (SAD) and macroeconomic announcements. Employing the General-to-Specific (Gets) Autometrics methodology, we identify distinct behavioral...