We document that leverage-adjusted returns on S&P 500 index call and put portfolios are decreasing in their strike-to-price ratio over 1986-2010, contrary to the prediction of the Black-Scholes-Merton model. We test a large number of plausible unconditional factor models and find that only...

Investments in short-term dividend assets outperform investments in the market according to Binsbergen, Brandt, and Koijen (2012), but contrary to predictions of several asset pricing models. To examine these findings, we double the sample to 24 years. We also advocate an interest rate-invariant...

We study the effect of discrimination against Jewish managers and owners on their firms' stock during the Third Reich. The stock of firms with Jewish managers underperformed by around 5% annually, with abnormal performance persisting on average for three years until firm "Aryanization." Firms...

We estimate short-duration dividend strip prices from 25 years-worth of S&P 500 index option data (1996-2020). We show that short-duration strips offer substantially more attractive returns than does the market, but the measurement error obscures this result at monthly holding periods. For...