In the run-up to the ex-dividend day a measure based on option implied dividends predicts ex-day abnormal stock returns. These expected ex-dividend day returns increase on stocks where it is less worthwhile to capture the dividend, stocks that are less liquid, stocks with high idiosyncratic...

We consider the problem of filtering and control in the setting of portfolio optimization in financial markets with random factors that are not directly observable. The example that we present is a commodities portfolio where yields on futures contracts are observed with some noise. Through the...

This article is an examination of stock picking behavior of nearly 1,500 hedge funds using regulatory mandated position-level data from the SEC (Form 13F). Using data from June 1999 to Dec 2018, ab- normal excess alpha is found on both a gross and dollar basis. Breaking the twenty-year sample...