After long being one of the main puzzles in asset pricing, momentum has ironically became a case of observational equivalence. It can now be explained both by factors proxying for mispricing and by the risk-based q-factor theory. On top of this, q-factor theory also explains the related...

A direct measure of the cyclicality of momentum at a given point in time, its bottom-up beta with respect to the market, forecasts both the returns and the risk of the strategy. Challenging a potential risk-based explanation, a highly cyclical momentum portfolio forecasts both higher risk and...

We create a market-wide measure of dispersion in options investors' expectations by aggregating across all stocks the dispersion in trading volume across moneynesses (DISP). DISP exhibits strong negative predictive power for future market returns and its information content is not subsumed by...