Moskowitz, Ooi, and Pedersen (2012) show that time series momentum delivers a large and significant alpha for a diversified portfolio of international futures contracts. We find that their results are largely driven by volatility-scaling returns (or the so-called risk parity approach to asset...

We explore how managers adjust voluntary disclosure in response to local policy uncertainty generated by gubernatorial elections. We show that the securities of firms headquartered in election states experience transitory deterioration in firm-level measures of uncertainty and information...