Public option market information contains exploitable information for equity investors for an investable universe of liquid large-cap stocks. Strategies based on several option measures predict returns and alphas on the underlying stock. Transaction costs are an important factor given the high...

Stocks with high uncertainty about risk, as measured by the volatility of volatility (vol-of-vol), robustly underperform stocks with low uncertainty about risk by 10 percent per year. This vol-of-vol effect is distinct from (combinations of) at least twenty previously documented return...

Theoretical models, such as the CAPM, predict a positive relation between risk and return, but the empirical evidence paints a mixed picture. Positive, flat and negative relations have been reported in various empirical studies. In this paper we reconcile these seemingly conflicting results by...

edging short gamma exposure requires trading in the direction of price movements,thereby creating price momentum. Using intraday returns on over 60 futures on equities,bonds, commodities, and currencies between 1974 and 2020, we document strong “marketintraday momentum” everywhere. The...

High-risk stocks do not have higher returns than low-risk stocks in all major stock markets. This paper provides a comprehensive overview of this low-risk effect, from the earliest asset pricing studies in the nineteen seventies to the most recent empirical findings and interpretations since....