We conjecture that the forward puzzle may reflect career risks: when professional investors observe public danger signals about a currency, they require a premium for holding it. We find evidence of this in ERM rates. As deep discounts do signal danger, we next specify nonlinear variants of the...

In this article, the authors find that a typical application of volatility-timing strategies to the stock market suffers from a look-ahead bias, despite existing evidence on successes of the strategies at the stock level. After correcting the bias, the strategy becomes very difficult to...

We offer an approach for recovering option-implied time-varying forward-looking risk premia of systematic factors---even if they do not possess actively-traded options. We apply this approach to the market, size, value, and momentum factors. We find that factor premia are highly volatile. Both...

I propose a regression approach to recovering the return distribution of an individual asset conditional on the return of an aggregate index based on their marginal distributions. This approach relies on the identifying assumption that the conditional return distribution of the asset given the...