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...

Currency factors, such as momentum, carry and value, are well-known candidates for alternative risk premia strategies. Benefiting from low correlations with traditional asset classes, FX factors can provide portfolio diversification advantages, while delivering idiosyncratic returns. In this...

The recent increase in passive investment products has provided investors with easy access to international markets. The basic motivation of this paper is to offer new tools to investors who want to allocate assets across countries. This study investigates the performance of equity country...