We investigate the returns to individuals who invested in residential real estate over 1999 – 2015. Using purchase and sales prices, we measure returns on properties that were both bought and sold by an investor by annualizing the property's price appreciation. We find that investors...

This paper considers a plethora of option-based measures of stock mispricing introduced by previous literature. These measures are based on differences between implied and actual stock prices, differences in implied volatilities across options, and on option trading volume. We show that stocks...

A number of papers document a strong negative relation between idiosyncratic volatility and risk-adjusted stock returns. Using IHS Markit data on indicative borrowing fees, we show that stocks with high idiosyncratic volatility are far more likely to be hard-to-borrow than stocks with low...